Titlebook: Mathematical Methods for Financial Markets; Monique Jeanblanc,Marc Yor,Marc Chesney Textbook 2009 Springer-Verlag London Ltd. 2009 Bessel

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Springer Financehttp://image.papertrans.cn/m/image/626243.jpg

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https://doi.org/10.1007/978-1-84628-737-4Bessel processes; Finance; Financial Market; Financial Markets; Jump-diffusion Processes; Mathematical Fi

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Mixed ProcessesIn this chapter, we present stochastic calculus for mixed processes (also often called jump-diffusions), i.e., loosely speaking they are processes whose dynamics are driven by a pair of processes consisting of a Brownian motion and a compound Poisson process. We give some applications to finance.

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Basic Concepts and Examples in Financecontinuous-path processes. We study in particular the general principle for valuation of contingent claims, the Feynman-Kac approach, the Ornstein-Uhlenbeck and Vasicek processes, and, finally, the pricing of European options.

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Hitting Times: A Mix of Mathematics and Financean motion, and we study barrier and lookback options. In the last part of the chapter, we present applications to the structural approach of default risk and real options theory and we give a short presentation of American options.

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