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Introduction to Stochastic Finance

  • Jia-An Yan

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Jia-An Yan
    Pages 75-105
  3. Jia-An Yan
    Pages 175-193
  4. Jia-An Yan
    Pages 195-215
  5. Jia-An Yan
    Pages 217-246
  6. Jia-An Yan
    Pages 263-305
  7. Jia-An Yan
    Pages 327-341
  8. Back Matter
    Pages 387-403

About this book

Introduction

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.

Keywords

portfolio selection pricing hedging Black-Scholes model diffusion process model option interest rate term structure model static risk measure

Authors and affiliations

  • Jia-An Yan
    • 1
  1. 1.Academy of Mathematics and System ScienceChineses Academy of SciencesBeijingChina

Bibliographic information

  • DOI https://doi.org/10.1007/978-981-13-1657-9
  • Copyright Information Springer Nature Singapore Pte Ltd. and Science Press 2018
  • Publisher Name Springer, Singapore
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-981-13-1656-2
  • Online ISBN 978-981-13-1657-9
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • Buy this book on publisher's site