Stochastic Models of Financial Mathematics

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Vigirdas Mackevicius (VU MIF Professor, Department of Mathematical Analysis, Vilnius University, Lithuania)

Stochastic Models of Financial Mathematics

Vigirdas Mackevicius (VU MIF Professor, Department of Mathematical Analysis, Vilnius University, Lithuania)

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English

ISTE Press Ltd - Elsevier Inc
12 October 2016

Game theory; Stochastics

This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black–Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath–Jarrow–Morton interest rate models are also explored.

The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided.

By: Vigirdas Mackevicius (VU MIF Professor Department of Mathematical Analysis Vilnius University Lithuania)
Imprint: ISTE Press Ltd - Elsevier Inc
Country of Publication: United Kingdom
Dimensions: Height: 229mm, Width: 151mm, Spine: 11mm
Weight: 260g
ISBN: 9781785481987
ISBN 10: 1785481983
Pages: 130
Publication Date: 12 October 2016
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

1: Overview of the Basics of Stochastic Analysis 2: The Black–Scholes Model 3: Models of Interest Rates

Vigirdas Mackevicius is Professor of the Department of Mathematical Analysis in the Faculty of Mathematics and Informatics of Vilnius University in Lithuania. His research interests include stochastic processes, stochastic analysis, and stochastic numerics.

Reviews for Stochastic Models of Financial Mathematics

"""The book is written at a high mathematical level, however very clearly for the reader, and will be useful both for undergraduate and post graduate students, practitioners and everybody who wants to study the basic properties of financial markets with continuous time."" --Zentralblatt MATH"