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Stochastic Financial Models

Stochastic Financial Models

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  • ISBN:9781420093452
  • Editorial: Crc Press Inc.
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  • Nº Pág.:264
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Developed from the esteemed author's advanced undergraduate and graduate courses at the University of Cambridge, this text provides a hands-on, sound introduction to mathematical finance. Assuming no prior knowledge of stochastic calculus or measure-theoretic probability, the author includes the relevant mathematical background as well as many exercises with solutions. He first presents the classical topics of utility and the mean-variance approach to portfolio choice. Focusing on derivative pricing, the text then covers the binomial model, the general discrete-time model, Brownian motion, the Black - Scholes model and various interest-rate models.

Portfolio Choice. The Binomial Model. A General Discrete-Time Model. Brownian Motion. The Black--Scholes Model. Interest-Rate Models. Solutions. Appendices. Further Reading. References. Index

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