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Stochastic Finance: An Introduction With Market Examples.


Stochastic Finance: An Introduction With Market Examples

Nicolas Privault

CRC Press


426 pages



Chapman & Hall/CRC Financial Mathematics Series


This graduate textbook explains how to model the time evolution of the prices of risky assets with random variables and stochastic processes, and introduces several methods for pricing and hedging in discrete and continuous time financials models. Topics include the Black-Scholes PDE for self-financing portfolios, the probabilistic martingale approach to computing option prices, estimation of volatility, interest rate modeling, and default risk in the bond markets. Stochastic calculus with jumps is restricted to compound Poisson processes which have only a finite number of jumps on any bounded interval.

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Publication:Reference & Research Book News
Article Type:Brief article
Date:Apr 1, 2014
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