Introduction to Stochastic Finance

Foundation of Probability Theory and Discrete-time Martingales.- Portfolio Selection Theory in Discrete Time.- Financial Markets in Discrete Time.- Martingale Theory and It o Stochastic Analysis.- The Black-Scholes Model and Its Modifications.- Pricing and Hedging of Exotic Options.- It o Process and Diffusion Models.- Term Structure Models For Interest Rates.- Optimal Investment-Consumption Strategies in Diffusion Models.- Static Risk Measures.- Stochastic Calculus and Semimartingale Model.- Optimal Investment in Incomplete Markets.- Martingale Method for Utility Maximization.- Optimal Growth Portfoliosand Option Pricing

Author: Jia-An Yan
Publisher: Springer
Published: 10/17/2018
Pages: 403
Binding Type: Paperback
Weight: 1.29lbs
Size: 9.21h x 6.14w x 0.86d
ISBN13: 9789811316562
ISBN10: 9811316562
BISAC Categories:
- Mathematics | Applied
- Business & Economics | Statistics
- Business & Economics | Econometrics

About the Author

Professor Jia-An Yan is a Professor of Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences. He is a Member of the Chinese Academy of Sciences and he has served as Editor-in-Chief of Acta Mathematicae Applicatae Sinica and members of several editorial boards. His main research area is stochastic analysis and mathematical finance.