Titlebook: Introduction to Stochastic Finance; Jia-An Yan Textbook 2018 Springer Nature Singapore Pte Ltd. and Science Press 2018 portfolio selection

FLIC

staging

STYX

Financial Markets in Discrete Time,ion principle. Then we study the general discrete-time model and give the martingale characterization of arbitrage-free market and European contingent claims pricing. In addition, we discuss the investment strategy via expected utility maximization and utility function-based contingent claims pricin

不幸的人

,Martingale Theory and Itô Stochastic Analysis,ime stochastic processes and the definitions of four basic types of process: Markov process, martingale, Poisson process, and Brownian motion, as well as their basic properties, including Doob-Meyer’s decompositions of continuous local submartingales and quadratic variation processes of continuous l

拥护者

The Black-Scholes Model and Its Modifications,theoretical research, continuous-time models are proved to be a convenient framework, because one can use stochastic analysis tools in studying of pricing and hedging of contingent claims and portfolio selection. Using stochastic analysis tools can often lead to explicit solutions or analytical expr

Hypopnea

gruelling

,Itô Process and Diffusion Models, on martingale methods in the pricing and hedging of European contingent claims under the Itô process setting. In Sect. 7.2 we show that within the diffusion process framework, the pricing and hedging of European contingent claims can be done through a PDE approach. In Sect. 7.3 we present two proba

失误

Term Structure Models for Interest Rates,ets, it is an acceptable approximation. However, for pricing interest rate derivatives or interest rate risk management, it is an unreasonable assumption. Therefore, one of the major topics in finance theory is the modeling of random interest rates and the pricing of interest rate derivatives.

amorphous

Optimal Investment-Consumption Strategies in Diffusion Models, Karatzas et al. (1991) studied this problem in incomplete markets. They considered a market composed of a bond and . stocks, the latter being driven by an .-dimensional Brownian motion. They used some virtual stocks to expand the original market into a complete market. Under certain additional cond

就职

Static Risk Measures,c. In 1988, the Basel Committee on Banking Supervision proposed measures to control credit risk in banking. A risk measure called the ., acronym VaR, became, in the 1990s, an important tool of risk assessment and management for banks, securities companies, investment funds, and other financial insti