This text provides information for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty. It introduces the reader to the main concepts, notions and results of stochastic financial mathematics, and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and stastical ideas and the methods of stochastic calculus in the analysis of market risks.
..". as an encyclopedia of results and methods for financial analysis it is very impressive and certainly very useful as well."
Part 1 Facts. Part 2 Models: main concepts, structures and instruments; aims and problems of financial theory and financial engineering; stochastic models - discrete time; stochastic models - continuous time; statistical analysis of financial data. Part 3 Theory: theory of arbitrage in stochastic financial models - discrete time; theory of pricing in stochastic financial models - discrete time; theory of arbitrage in stochastic financial models - continuous time; theory of pricing in stochastic financial models - continuous time.
Series: Advanced Series on Statistical Science and Applied Probability
Number Of Pages: 852
Published: 18th January 1999
Country of Publication: SG
Dimensions (cm): 22.86 x 15.95
Weight (kg): 1.35