Stochastic financial models
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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| Format: | eBook |
| Language: | Inglés |
| Published: |
Boca Raton :
CRC Press
2010.
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| Edition: | 1st ed |
| Series: | Chapman & Hall/CRC financial mathematics series.
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| Subjects: | |
| See on Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009649839006719 |
| 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 |
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| Item Description: | Description based upon print version of record. |
| Physical Description: | 1 online resource (264 p.) |
| Bibliography: | Includes bibliographical references. |
| ISBN: | 9780429184789 9781420093469 9781439882719 |
