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Stochastic Finance: An Introduction with Market Examples

Nicolas Privault
Publisher: 
Chapman & Hall/CRC
Publication Date: 
2014
Number of Pages: 
426
Format: 
Hardcover
Series: 
Chapman & Hall/CRC Financial Mathematics Series
Price: 
79.95
ISBN: 
9781466594029
Category: 
Textbook
We do not plan to review this book.

Assets, Portfolios, and Arbitrage, Discrete-Time Model. Pricing and Hedging in Discrete Time. Brownian Motion and Stochastic Calculus. The Black-Scholes PDE. Martingale Approach to Pricing and Hedging. Estimation of Volatility. Exotic Options. American Options. Change of Numéraire and Forward Measures. Forward Rate Modeling. Pricing of Interest Rate Derivatives. Credit Default. Stochastic Calculus for Jump Processes. Pricing and Hedging in Jump Models. Basic Numerical Methods. Appendix. Exercise Solutions. References. Index.

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