Chalasani P., Jha S. Stochastic Calculus and Finance

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размер 1.19 МБ
добавлен 03 июля 2011 г.

Steven E. Shreve, 1997. - 347 pages.

Contens:

Introduction to Probability Theory
Conditional Expectation
Arbitrage Pricing
The Markov Property
Stopping Times and American Options
Properties of American Derivative Securities
Jensen’s Inequality
Random Walks
Pricing in terms of Market Probabilities: The Radon-Nikodym Theorem.
Capital Asset Pricing
General Random Variables
Semi-Continuous Models
Brownian Motion
The Ito Integral
Ito’s Formula
Markov processes and the Kolmogorov equations
Girsanov’s theorem and the risk-neutral measure
Martingale Representation Theorem
A two-dimensional market model
Pricing Exotic Options
Asian Options
Summary of Arbitrage Pricing Theory
Recognizing a Brownian Motion
An outside barrier option
American Options
Options on dividend-paying stocks
Bonds, forward contracts and futures
Term-structure models
Gaussian processes
Hull and White model
Cox-Ingersoll-Ross model
A two-factor model (Duffie & Kan)
Change of numeraire
Brace-Gatarek-Musiela model

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