Introduction to Stochastic Finance
Author:   Jia-An Yan
Publisher:   Springer Verlag, Singapore
Edition:   1st ed. 2018
ISBN:  

9789811316562


Pages:   403
Publication Date:   17 October 2018
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Introduction to Stochastic Finance


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Overview

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.

Full Product Details

Author:   Jia-An Yan
Publisher:   Springer Verlag, Singapore
Imprint:   Springer Verlag, Singapore
Edition:   1st ed. 2018
Weight:   0.640kg
ISBN:  

9789811316562


ISBN 10:   9811316562
Pages:   403
Publication Date:   17 October 2018
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Foundation of Probability Theory and Discrete-time Martingales.- Portfolio Selection Theory in Discrete Time.- Financial Markets in Discrete Time.- Martingale Theory and Itˆo Stochastic Analysis.- The Black-Scholes Model and Its Modifications.- Pricing and Hedging of Exotic Options.- Itˆo Process and Diffusion Models.- Term Structure Models For Interest Rates.- Optimal Investment-Consumption Strategies in Diffusion Models.- Static Risk Measures.- Stochastic Calculus and Semimartingale Model.- Optimal Investment in Incomplete Markets.- Martingale Method for Utility Maximization.- Optimal Growth Portfoliosand Option Pricing

Reviews

“The monograph is a wonderful text for graduate courses in mathematical finance and related fields. … The materials presented in the monograph are organised in a thoughtful way.” (Tak Kuen Siu, zbMATH 1420.91001, 2019)


The monograph is a wonderful text for graduate courses in mathematical finance and related fields. ... The materials presented in the monograph are organised in a thoughtful way. (Tak Kuen Siu, zbMATH 1420.91001, 2019)


Author Information

Professor Jia-An Yan is a Professor of Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences. He is a Member of the Chinese Academy of Sciences and he has served as Editor-in-Chief of Acta Mathematicae Applicatae Sinica and members of several editorial boards. His main research area is stochastic analysis and mathematical finance.

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