Problems and solutions in mathematical finance: 1 Stochastic calculus
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester
Wiley
2014
|
| Schriftenreihe: | Wiley Finance Series
Wiley finance series |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VIII, 379 S. graph. Darst. |
| ISBN: | 9781119965831 |
Internformat
MARC
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|---|---|---|---|
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| 003 | DE-604 | ||
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| 020 | |a 9781119965831 |c hbk |9 978-1-119-96583-1 | ||
| 035 | |a (OCoLC)896299499 | ||
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| 100 | 1 | |a Chin, Eric |d 1971- |e Verfasser |0 (DE-588)1060028204 |4 aut | |
| 245 | 1 | 0 | |a Problems and solutions in mathematical finance |n 1 |p Stochastic calculus |c Eric Chin, Dian Nel and Sverrir Olafsson |
| 264 | 1 | |a Chichester |b Wiley |c 2014 | |
| 300 | |a VIII, 379 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley Finance Series | |
| 490 | 0 | |a Wiley finance series | |
| 700 | 1 | |a Nel, Dian |d 1979- |e Verfasser |0 (DE-588)1060028263 |4 aut | |
| 700 | 1 | |a Olafsson, Sverrir |e Verfasser |4 aut | |
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| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-1-119-96608-1 |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-027596478 | ||
Datensatz im Suchindex
| _version_ | 1804152651781242880 |
|---|---|
| adam_text | Contents
Preface
ίχ
Prologue
xi
About the Authors
xv
1
General Probability Theory
1
1.1
Introduction
1
1
.2
Problems and Solutions
4
1.2.1
Probability Spaces
4
1.2.2
Discrete and Continuous Random Variables
11
1.2.3
Properties of Expectations
41
2
Wiener Process
51
2.1
Introduction
51
2.2
Problems and Solutions
55
2.2.1
Basic Properties
55
2.2.2
Markov Property
68
2.2.3
Martingale Property
71
2.2.4
First Passage Time
76
2.2.5
Reflection Principle
84
2.2.6
Quadratic Variation
89
3
Stochastic Differential Equations
95
3.1
Introduction
95
3.2
Problems and Solutions
102
3.2.1
Ito
Calculus
102
3.2.2
One-Dimensional Diffusion Process
123
3.2.3
Multi-Dimensional Diffusion Process
155
4
Change of Measure
185
4.1
Introduction
185
4.2
Problems and Solutions
192
4.2.1
Martingale Representation Theorem
192
viii Contents
4.2.2
Girsanov s
Theorem 194
4.2.3
Risk-Neutral Measure
221
5
Poisson Process
243
5.1
Introduction
243
5.2
Problems and Solutions
251
5.2.1
Properties of
Poisson Process
251
5.2.2
Jump Diffusion
Process
281
5.2.3
Girsanov s Theorem for Jump Processes
298
5.2.4
Risk-Neutral Measure for Jump Processes
322
Appendix A Mathematics Formulae
331
Appendix
В
Probability Theory Formulae
341
Appendix
С
Differential
Equations
Formulae
357
Bibliography
365
Notation
369
Index
373
|
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| id | DE-604.BV042156742 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:14:06Z |
| institution | BVB |
| isbn | 9781119965831 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027596478 |
| oclc_num | 896299499 |
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| physical | VIII, 379 S. graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley Finance Series Wiley finance series |
| spelling | Chin, Eric 1971- Verfasser (DE-588)1060028204 aut Problems and solutions in mathematical finance 1 Stochastic calculus Eric Chin, Dian Nel and Sverrir Olafsson Chichester Wiley 2014 VIII, 379 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley Finance Series Wiley finance series Nel, Dian 1979- Verfasser (DE-588)1060028263 aut Olafsson, Sverrir Verfasser aut (DE-604)BV042156710 1 Erscheint auch als Online-Ausgabe 978-1-118-84514-1 Erscheint auch als Online-Ausgabe 978-1-119-96607-4 Erscheint auch als Online-Ausgabe 978-1-119-96608-1 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027596478&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chin, Eric 1971- Nel, Dian 1979- Olafsson, Sverrir Problems and solutions in mathematical finance |
| title | Problems and solutions in mathematical finance |
| title_auth | Problems and solutions in mathematical finance |
| title_exact_search | Problems and solutions in mathematical finance |
| title_full | Problems and solutions in mathematical finance 1 Stochastic calculus Eric Chin, Dian Nel and Sverrir Olafsson |
| title_fullStr | Problems and solutions in mathematical finance 1 Stochastic calculus Eric Chin, Dian Nel and Sverrir Olafsson |
| title_full_unstemmed | Problems and solutions in mathematical finance 1 Stochastic calculus Eric Chin, Dian Nel and Sverrir Olafsson |
| title_short | Problems and solutions in mathematical finance |
| title_sort | problems and solutions in mathematical finance stochastic calculus |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027596478&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV042156710 |
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