Principles of infinitesimal stochastic and financial analysis:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Singapore [u.a.]
World Scientific
2000
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 136 S. graph. Darst. |
| ISBN: | 9810243588 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
PRINCIPLES OF
INFINITESIMAL STOCHASTIC AND FINANCIAL ANALYSIS
IMME VAN DEN BERG UNIVERSIDADE DE EVORA, PORTUGAL
V FE WORLD SCIENTIFIC WB SINGAPORE * NEW JERSEY * LONDON * HONG KONG
IMAGE 2
CONTENTS
PREFACE V
CHAPTER 1 THE BINOMIAL CONE AND THE BINOMIAL COEFRCIENTS 1
1.1 THE BINOMIAL CONE 1
1.2 RESCALING 3
1.3 EXERCISES 6
CHAPTER 2 ASYMPTOTIC PROPERTIES OF FINITE RANDOM VARIABLES 9 2.1
PRELIMINARIES 9
2.1.1 ORDERS OF MAGNITUDE 9
2.1.2 RIEMANN SUMS 11
2.1.3 PERMANENCE PRINCIPLES 13
2.2 MASS AND TAIL OF A RANDOM VARIABLE 13
2.3 ASYMPTOTICS OF THE BINOMIAL COEFF ICIENTS 16
2.4 EXERCISES 25
CHAPTER 3 FINITE STOCHASTIC PROCESSES 31
3.1 PROCESS AND TRAJECTORIES 31
3.2 THE DISCRETE WIENER WALK 36
3.3 RECOMBINING PROCESSES; THE DISCRETE SURFACE 42
3.4 CONDITIONAL PROBABILITY AND EXPECTATION 46
3.5 MARKOV PROCESSES, BINOMIAL PROCESSES 53
3.6 ADAPTED RANDOM VARIABLES 58
3.7 MARTINGALES AND TRENDS 67
3.8 EXERCISES 74
XI
IMAGE 3
XII CONTENTS
CHAPTER 4 STOCK PRICES 83
4.1 THE GEOMETRIC BROWNIAN MOTION 83
4.2 MODELLING STOCK PRICES 85
4.3 THE DISCRETE SURFACE OF TRAJECTORIES 88
4.4 EXERCISES 90
CHAPTER 5 OPTIONS 97
5.1 EUROPEAN OPTION, HEDGE, SELF-FINANCING STRATEGY 97
5.2 THE COX-ROSS-RUBINSTEIN MODEL 101
5.2.1 CASE OF ONE TIME-STEP 101
5.2.2 CASE OF TWO TIME-STEPS 106
5.2.3 CASE OF MULTIPLE TIME-STEPS 108
5.3 BLACK-SCHOLES PRICE OF EUROPEAN OPTIONS 111
5.4 EXERCISES 118
BIBLIOGRAPHY 131
INDEX 133
|
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:53:11Z |
| institution | BVB |
| isbn | 9810243588 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009474718 |
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| physical | XII, 136 S. graph. Darst. |
| publishDate | 2000 |
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| publisher | World Scientific |
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| spelling | Berg, Imme van den Verfasser aut Principles of infinitesimal stochastic and financial analysis Imme van den Berg Singapore [u.a.] World Scientific 2000 XII, 136 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Options (Finance) Prices Mathematical models Stochastic analysis Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Stochastische Analysis (DE-588)4132272-1 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009474718&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Berg, Imme van den Principles of infinitesimal stochastic and financial analysis Mathematisches Modell Options (Finance) Prices Mathematical models Stochastic analysis Finanzmathematik (DE-588)4017195-4 gnd Stochastische Analysis (DE-588)4132272-1 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4132272-1 |
| title | Principles of infinitesimal stochastic and financial analysis |
| title_auth | Principles of infinitesimal stochastic and financial analysis |
| title_exact_search | Principles of infinitesimal stochastic and financial analysis |
| title_full | Principles of infinitesimal stochastic and financial analysis Imme van den Berg |
| title_fullStr | Principles of infinitesimal stochastic and financial analysis Imme van den Berg |
| title_full_unstemmed | Principles of infinitesimal stochastic and financial analysis Imme van den Berg |
| title_short | Principles of infinitesimal stochastic and financial analysis |
| title_sort | principles of infinitesimal stochastic and financial analysis |
| topic | Mathematisches Modell Options (Finance) Prices Mathematical models Stochastic analysis Finanzmathematik (DE-588)4017195-4 gnd Stochastische Analysis (DE-588)4132272-1 gnd |
| topic_facet | Mathematisches Modell Options (Finance) Prices Mathematical models Stochastic analysis Finanzmathematik Stochastische Analysis |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009474718&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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