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Stochastic financial models /

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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 Bla...

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Bibliographic Details
Main Author: Kennedy, Douglas (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Language Notes:English.
Published: Boca Raton : CRC Press, 2010.
Series:Chapman & Hall/CRC financial mathematics series.
Subjects:
Investments > Mathematical models.
Stochastic analysis.
Investissements > Modèles mathématiques.
Analyse stochastique.
Investments > Mathematical models
Stochastic analysis
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
Summary: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.
Item Description:Description based upon print version of record.
Physical Description:1 online resource (264 pages).
Bibliography:Includes bibliographical references.
ISBN:0429184786
9780429184789
1420093460
9781420093469
1439882711
9781439882719