|
|
 |
|
Viewing report
|
|
|
|
Applied Stochastic Finance: Number 1: Discrete-time Asset Pricing Models
John Wiley and Sons Ltd, Jan 2010, Pages: 416
Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk.
These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance.
Volume 1 starts with the introduction of the basic financial instruments and the fundamental principles of financial modeling and arbitrage valuation of derivatives. Next, we use the discrete-time binomial model to introduce all relevant concepts. The mathematical simplicity of the binomial model also provides us with the opportunity to introduce and discuss in depth concepts such as conditional expectations and martingales in discrete time. However, we do not expand beyond the needs of the stochastic finance framework. Numerous examples, each highlighted and isolated from the text for easy reference and identification, are included.
The book concludes with the use of the binomial model to introduce interest rate models and the use of the Markov chain model to introduce credit risk. This volume is designed in such a way that, among other uses, makes it useful as an undergraduate course
Also available
Applied Stochastic Finance, Volume 2
Customers who bought this item also bought
Applied Stochastic Finance, Volume 2
A Quantitative Framework to Assess the Risk-Reward Profile of Non-Equity Products
Venture Capital and the Finance of Innovation, 2nd Edition
A Probability Metrics Approach to Financial Risk Measures
Probability and Statistics for Finance
Model Risk: Identification, Measurement and Management
Rethinking Risk Measurement and Reporting: Volume II - Examples and Applications from Finance
Modelling Interest Rates
The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies, 2nd Edition
The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management
|
|
|
|
