Introduction to stochastic finance / Jia-An Yan.

Format:

Book

Author/Creator:

Yan, J. (Jia-An), author.

Series:

Universitext 0172-5939

Universitext, 0172-5939

Language:

English

Subjects (All):

Business mathematics.

Stochastic processes.

Physical Description:

xiv, 403 pages : illustrations ; 24 cm.

Place of Publication:

Singapore : Springer, [2018]

Summary:

"This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented"-- Back cover.

This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.-- Provided by publisher.

Notes:

Includes bibliographical references (pages 387-395) and index.

ISBN:

9811316562

9789811316562

OCLC:

1041541073