Continuous-time Asset Pricing Models in Applied Stochastic Finance
Discrete-Time Asset Pricing Models

 

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Continuous-time Asset Pricing Models in Applied Stochastic Finance
Discrete-Time Asset Pricing Models

by P-C.G. Vassiliou (Author)

 

Hardback

ISBN: 9781848211599

 

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Focuses on continuous time models by presenting the necessary material from continuous martingales, measure theory and stochastic differential equations as models for various assets Builds the necessary stochastic analysis background i.e.



We then build, with many examples and intuitive explanations, the necessary stochastic analysis background i.e. Ito's lemma, stochastic integration, Girsanovis theorem, etc. The book then guides the reader into the pricing of vanilla options in continuous time i.e. the continuous time models of Black and Scholes, followed by interest rate models and the models of Heath-Jarrow-Morton and the forward Libor model. The final part of the book presents the pricing of credit derivatives.


 

ISBN 1848211597
ISBN13 9781848211599
Publisher ISTE Ltd and John Wiley & Sons Inc
Format Hardback
Publication date 19/01/2010
Pages 608
Weight (grammes) 751.00
Published in United Kingdom
Height (mm) 250
Width (mm) 150

1. Introduction.
2. Overview of probability theory in continuous-time.
3. Martingales in continuous time.
4. Stochastic differential equations as models for asset pricing models.
5. Stochastic calculus.
6. Option pricing.
7. Interest rate models.
8. Credit risk.