Stochastic Financial Models

Portfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe Black-Scholes ModelIntroductionThe Black-Scholes formulaHedging and the Black-Scholes equationPath-dependent claimsDividend-paying assetsInterest-Rate ModelsIntroductionSurvey of interest-rate modelsGaussian random-field modelAppendix A: Mathematical PreliminariesAppendix B: Solutions to the ExercisesFurthe

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Year of publication:	2010
Authors:	Kennedy, Douglas
Publisher:	Hoboken : CRC Press
Subject:	Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Stochastischer Prozess \| Stochastic process \| Finanzmathematik \| Mathematical finance \| Black-Scholes-Modell \| Black-Scholes model \| Mathematik \| Mathematics
Description of contents:	Table of Contents [external.dandelon.com] ; Description [zbmath.org]

Extent:	Online-Ressource (264 p)
Series:	Chapman and Hall / CRC Financial Mathematics Series Chapman and Hall/CRC Financial Mathematics Ser
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Front cover; Contents; Preface; Chapter 1: PORTFOLIO CHOICE; Chapter 2: THE BINOMIAL MODEL; Chapter 3: A GENERAL DISCRETE-TIME MODEL; Chapter 4: BROWNIAN MOTION; Chapter 5: THE BLACK-SCHOLES MODEL; Chapter 6: INTEREST-RATE MODELS; Appendix A: MATHEMATICAL PRELIMINARIES; Appendix B: SOLUTIONS TO THE EXERCISES; Further Reading; References; Back cover
ISBN:	978-1-4200-9345-2 ; 978-1-4398-8271-9 ; 978-1-4200-9345-2
Source:	ECONIS - Online Catalogue of the ZBW

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