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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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Boca Raton :
CRC Press
2010.
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| Edición: | 1st ed |
| Colección: | Chapman & Hall/CRC financial mathematics series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009649839006719 |
Tabla de Contenidos:
- 1. Portfolio choice
- 2. The binomial model
- 3. A general discrete-time model
- 4. Brownian motion
- 5. The Black-Scholes model
- 6. Interest-rate models.
