http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
1 online resource (441 pages) : 104 illustrations.
Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets.
chapter Introduction -- chapter 1 Assets, Portfolios and Arbitrage -- chapter 2 Discrete-Time Model -- chapter 3 Pricing and Hedging in Discrete Time -- chapter 4 Brownian Motion and Stochastic Calculus -- chapter 5 The Black-Scholes PDE -- chapter 6 Martingale Approach to Pricing and Hedging -- chapter 7 Estimation of Volatility -- chapter 8 Exotic Options -- chapter 9 American Options -- chapter 10 Change of Nume´raire and Forward Measures -- chapter 11 Forward Rate Modeling -- chapter 12 Pricing of Interest Rate Derivatives -- chapter 13 Default Risk in Bond Markets -- chapter 14 Stochastic Calculus for Jump Processes -- chapter 15 Pricing and Hedging in Jump Models -- chapter 16 Basic Numerical Methods.
MATHEMATICS / Probability & Statistics / General
Chapman and Hall/CRC financial mathematics series