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Stochastic Finance
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Stochastic Finance

An Introduction with Market Examples

Stochastic Finance

An Introduction with Market Examples

ByNicolas Privault
Edition 1st Edition
First Published 2013
eBook Published 20 December 2013
Pub. location New York
Imprint Chapman and Hall/CRC
DOIhttps://doi.org/10.1201/b16359
Pages 441 pages
eBook ISBN 9781466594036
SubjectsEconomics, Finance, Business & Industry, Mathematics & Statistics
Get Citation

Get Citation

Privault, N. (2014). Stochastic Finance. New York: Chapman and Hall/CRC, https://doi.org/10.1201/b16359
ABOUT THIS BOOK

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of

TABLE OF CONTENTS
chapter |6 pages
Introduction
View abstract
chapter 1|16 pages
Assets, Portfolios and Arbitrage
View abstract
chapter 2|16 pages
Discrete-Time Model
View abstract
chapter 3|24 pages
Pricing and Hedging in Discrete Time
View abstract
chapter 4|26 pages
Brownian Motion and Stochastic Calculus
View abstract
chapter 5|22 pages
The Black–Scholes PDE
View abstract
chapter 6|24 pages
Martingale Approach to Pricing and Hedging
View abstract
chapter 7|10 pages
Estimation of Volatility
View abstract
chapter 8|68 pages
Exotic Options
View abstract
chapter 9|40 pages
American Options
View abstract
chapter 10|24 pages
Change of Nume´raire and Forward Measures
View abstract
chapter 11|38 pages
Forward Rate Modeling
View abstract
chapter 12|20 pages
Pricing of Interest Rate Derivatives
View abstract
chapter 13|10 pages
Default Risk in Bond Markets
View abstract
chapter 14|24 pages
Stochastic Calculus for Jump Processes
View abstract
chapter 15|12 pages
Pricing and Hedging in Jump Models
View abstract
chapter 16|8 pages
Basic Numerical Methods
View abstract

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of

TABLE OF CONTENTS
chapter |6 pages
Introduction
View abstract
chapter 1|16 pages
Assets, Portfolios and Arbitrage
View abstract
chapter 2|16 pages
Discrete-Time Model
View abstract
chapter 3|24 pages
Pricing and Hedging in Discrete Time
View abstract
chapter 4|26 pages
Brownian Motion and Stochastic Calculus
View abstract
chapter 5|22 pages
The Black–Scholes PDE
View abstract
chapter 6|24 pages
Martingale Approach to Pricing and Hedging
View abstract
chapter 7|10 pages
Estimation of Volatility
View abstract
chapter 8|68 pages
Exotic Options
View abstract
chapter 9|40 pages
American Options
View abstract
chapter 10|24 pages
Change of Nume´raire and Forward Measures
View abstract
chapter 11|38 pages
Forward Rate Modeling
View abstract
chapter 12|20 pages
Pricing of Interest Rate Derivatives
View abstract
chapter 13|10 pages
Default Risk in Bond Markets
View abstract
chapter 14|24 pages
Stochastic Calculus for Jump Processes
View abstract
chapter 15|12 pages
Pricing and Hedging in Jump Models
View abstract
chapter 16|8 pages
Basic Numerical Methods
View abstract
CONTENTS
ABOUT THIS BOOK

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of

TABLE OF CONTENTS
chapter |6 pages
Introduction
View abstract
chapter 1|16 pages
Assets, Portfolios and Arbitrage
View abstract
chapter 2|16 pages
Discrete-Time Model
View abstract
chapter 3|24 pages
Pricing and Hedging in Discrete Time
View abstract
chapter 4|26 pages
Brownian Motion and Stochastic Calculus
View abstract
chapter 5|22 pages
The Black–Scholes PDE
View abstract
chapter 6|24 pages
Martingale Approach to Pricing and Hedging
View abstract
chapter 7|10 pages
Estimation of Volatility
View abstract
chapter 8|68 pages
Exotic Options
View abstract
chapter 9|40 pages
American Options
View abstract
chapter 10|24 pages
Change of Nume´raire and Forward Measures
View abstract
chapter 11|38 pages
Forward Rate Modeling
View abstract
chapter 12|20 pages
Pricing of Interest Rate Derivatives
View abstract
chapter 13|10 pages
Default Risk in Bond Markets
View abstract
chapter 14|24 pages
Stochastic Calculus for Jump Processes
View abstract
chapter 15|12 pages
Pricing and Hedging in Jump Models
View abstract
chapter 16|8 pages
Basic Numerical Methods
View abstract

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of

TABLE OF CONTENTS
chapter |6 pages
Introduction
View abstract
chapter 1|16 pages
Assets, Portfolios and Arbitrage
View abstract
chapter 2|16 pages
Discrete-Time Model
View abstract
chapter 3|24 pages
Pricing and Hedging in Discrete Time
View abstract
chapter 4|26 pages
Brownian Motion and Stochastic Calculus
View abstract
chapter 5|22 pages
The Black–Scholes PDE
View abstract
chapter 6|24 pages
Martingale Approach to Pricing and Hedging
View abstract
chapter 7|10 pages
Estimation of Volatility
View abstract
chapter 8|68 pages
Exotic Options
View abstract
chapter 9|40 pages
American Options
View abstract
chapter 10|24 pages
Change of Nume´raire and Forward Measures
View abstract
chapter 11|38 pages
Forward Rate Modeling
View abstract
chapter 12|20 pages
Pricing of Interest Rate Derivatives
View abstract
chapter 13|10 pages
Default Risk in Bond Markets
View abstract
chapter 14|24 pages
Stochastic Calculus for Jump Processes
View abstract
chapter 15|12 pages
Pricing and Hedging in Jump Models
View abstract
chapter 16|8 pages
Basic Numerical Methods
View abstract
ABOUT THIS BOOK
ABOUT THIS BOOK

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of

TABLE OF CONTENTS
chapter |6 pages
Introduction
View abstract
chapter 1|16 pages
Assets, Portfolios and Arbitrage
View abstract
chapter 2|16 pages
Discrete-Time Model
View abstract
chapter 3|24 pages
Pricing and Hedging in Discrete Time
View abstract
chapter 4|26 pages
Brownian Motion and Stochastic Calculus
View abstract
chapter 5|22 pages
The Black–Scholes PDE
View abstract
chapter 6|24 pages
Martingale Approach to Pricing and Hedging
View abstract
chapter 7|10 pages
Estimation of Volatility
View abstract
chapter 8|68 pages
Exotic Options
View abstract
chapter 9|40 pages
American Options
View abstract
chapter 10|24 pages
Change of Nume´raire and Forward Measures
View abstract
chapter 11|38 pages
Forward Rate Modeling
View abstract
chapter 12|20 pages
Pricing of Interest Rate Derivatives
View abstract
chapter 13|10 pages
Default Risk in Bond Markets
View abstract
chapter 14|24 pages
Stochastic Calculus for Jump Processes
View abstract
chapter 15|12 pages
Pricing and Hedging in Jump Models
View abstract
chapter 16|8 pages
Basic Numerical Methods
View abstract

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of

TABLE OF CONTENTS
chapter |6 pages
Introduction
View abstract
chapter 1|16 pages
Assets, Portfolios and Arbitrage
View abstract
chapter 2|16 pages
Discrete-Time Model
View abstract
chapter 3|24 pages
Pricing and Hedging in Discrete Time
View abstract
chapter 4|26 pages
Brownian Motion and Stochastic Calculus
View abstract
chapter 5|22 pages
The Black–Scholes PDE
View abstract
chapter 6|24 pages
Martingale Approach to Pricing and Hedging
View abstract
chapter 7|10 pages
Estimation of Volatility
View abstract
chapter 8|68 pages
Exotic Options
View abstract
chapter 9|40 pages
American Options
View abstract
chapter 10|24 pages
Change of Nume´raire and Forward Measures
View abstract
chapter 11|38 pages
Forward Rate Modeling
View abstract
chapter 12|20 pages
Pricing of Interest Rate Derivatives
View abstract
chapter 13|10 pages
Default Risk in Bond Markets
View abstract
chapter 14|24 pages
Stochastic Calculus for Jump Processes
View abstract
chapter 15|12 pages
Pricing and Hedging in Jump Models
View abstract
chapter 16|8 pages
Basic Numerical Methods
View abstract
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