You are here

Financial Modeling: A Backward Stochastic Differential Equations Perspective

Stéphane Crépey
Publisher: 
Springer
Publication Date: 
2013
Number of Pages: 
459
Format: 
Hardcover
Series: 
Springer Finance
Price: 
79.95
ISBN: 
9783642371127
Category: 
Textbook
There is no review yet. Please check back later.

Part I: An Introductory Course in Stochastic Processes.- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes.- 3.Elements of Stochastic Analysis.- Part II: Pricing Equations.- 4.Martingale Modeling.- 5.Benchmark Models.- Part III: Numerical Solutions.- 6.Monte Carlo Methods.- 7.Tree Methods.- 8.Finite Differences.- 9.Callibration Methods.- Part IV: Applications.- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups.- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups.- Part V: Jump-Diffusion Setup with Regime Switching (**).- 12.Backward Stochastic Differential Equations.- 13.Analytic Approach.- 14.Extensions.- Part VI: Appendix.- A.Technical Proofs (**).- B.Exercises.- C.Corrected Problem Sets.

Dummy View - NOT TO BE DELETED