• Author: Thomas Mikosch
• Publisher: World Scientific
• ISBN: 9789810235437
• Category: Mathematics
• Page: 212
• View: 2233

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Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.

• Author: Ubbo F. Wiersema
• Publisher: John Wiley & Sons
• ISBN: 0470021713
• Category: Business & Economics
• Page: 330
• View: 2814

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Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites. Summary slides for revision and teaching can be found on the book website.

An Introduction

• Author: David Ruppert
• Publisher: Springer Science & Business Media
• ISBN: 9780387202709
• Category: Business & Economics
• Page: 473
• View: 5495

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This textbook emphasizes the applications of statistics and probability to finance. It reviews the basics and advanced topics are introduced, including behavioral finance. The book serves as a text in courses, and those in the finance industry can use it for self-study.

• Author: Torben Gustav Andersen,Richard A. Davis,Jens-Peter Kreiß,Thomas V. Mikosch
• Publisher: Springer Science & Business Media
• ISBN: 3540712976
• Category: Business & Economics
• Page: 1050
• View: 616

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The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

• Author: Stefano M. Iacus
• Publisher: John Wiley & Sons
• ISBN: 9781119990208
• Category: Business & Economics
• Page: 472
• View: 8468

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Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

• Author: Robert B. Ash,Melvin F. Gardner
• Publisher: Academic Pr
• ISBN: 9780120652709
• Category: Mathematics
• Page: 321
• View: 3736

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Stochastic Processes, Introduction, Covariance functions, Second order calculus, Karhunen-loeve expansion, Estimation problems, Notes; Spectral theory and prediction, Introduction, L Stochastic integrals, Decomposition of stationary processes, Examples of discrete parameter processes, Discrete parameter prediction: Special cases, Discrete parameter prediction: General solution, Examples of continuous parameter processes; Continuos parameter prediction special cases; yaglom's method, Some stochastic differential equations, Continuos parameter prediction: remarks on the general solution, Notes; Ergodic theory, Ergodicity and mixing, The pointwise ergodic theorem, Applications to real analysis, Applications to Markov chains, The Shannon-mcMillan theorem, Notes; Sample function analysis of continuous parameter stochastic processes, Separability, Measurability, One-Dimensional brownian motion, Law of the iterated logarithm, Markov processes, Processes with independent increments, Continuous parameter martingales, The strong Markov property, Notes; The ito integral and stochastic differential equations, Definitions of the ito integral, Existence and uniqueness theorems for stochastic differential equations, Stochastic differentials: A chain rule, Notes.

• Author: S. David Promislow
• Publisher: John Wiley & Sons
• ISBN: 1118782526
• Category: Mathematics
• Page: 552
• View: 902

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Provides a comprehensive coverage of both the deterministic and stochastic models of life contingencies, risk theory, credibility theory, multi-state models, and an introduction to modern mathematical finance. New edition restructures the material to fit into modern computational methods and provides several spreadsheet examples throughout. Covers the syllabus for the Institute of Actuaries subject CT5, Contingencies Includes new chapters covering stochastic investments returns, universal life insurance. Elements of option pricing and the Black-Scholes formula will be introduced.

• Author: N.A
• Publisher: N.A
• ISBN: N.A
• Category: Mathematical analysis
• Page: N.A
• View: 8932

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• Author: N.A
• Publisher: N.A
• ISBN: N.A
• Category: Risk management
• Page: N.A
• View: 8861

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• Author: N.A
• Publisher: N.A
• ISBN: N.A
• Category: Mathematics
• Page: N.A
• View: 8861

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