Stochastic Processes with Applications to Finance: 2nd Edition (e-Book) book cover

Stochastic Processes with Applications to Finance

2nd Edition

By Masaaki Kijima

Chapman and Hall/CRC

343 pages

Purchasing Options:$ = USD
Hardback: 9781439884829
pub: 2013-04-18
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Description

Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools

Table of Contents

Elementary Calculus: Towards Ito's Formula. Elements in Probability. Useful Distributions in Finance. Derivative Securities. Change of Measures and the Pricing of Insurance Products. A Discrete-Time Model for Securities Market. Random Walks. The Binomial Model. A Discrete-Time Model for Defaultable Securities. Markov Chains. Monte Carlo Simulation. From Discrete to Continuous: Towards the Black-Scholes. Basic Stochastic Processes in Continuous Time. A Continuous-Time Model for Securities Market. Term-Structure Models and Interest-Rate Derivatives. A Continuous-Time Model for Defaultable Securities. References. Index.

Subject Categories

BISAC Subject Codes/Headings:
BUS027000
BUSINESS & ECONOMICS / Finance
MAT000000
MATHEMATICS / General
MAT029000
MATHEMATICS / Probability & Statistics / General