Stochastic Processes and Financial Mathematics
Springer Berlin (Verlag)
978-3-662-64710-3 (ISBN)
Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models. The basic construction of the stochastic integral and the associated martingale theory provide fundamental methods of the theory of stochastic processes for the construction of suitable stochastic models of financial mathematics, e.g. using stochastic differential equations. Central results of stochastic analysis such as the Itô formula, Girsanov's theorem and martingale representation theorems are of fundamental importance in financial mathematics, e.g. for the risk-neutral valuation formula (Black-Scholes formula) or the question of the hedgeability of options and the completeness of market models. Chapters on the valuation of options in complete and incomplete markets and on the determination of optimal hedging strategies conclude the range of topics.
Advanced knowledge of probability theory is assumed, in particular of discrete-time processes (martingales, Markov chains) and continuous-time processes (Brownian motion, Lévy processes, processes with independent increments, Markov processes). The book is thus suitable for advanced students as a companion reading and for instructors as a basis for their own courses.
This book is a translation of the original German 1st edition Stochastische Prozesse und Finanzmathematik by Ludger Rüschendorf, published by Springer-Verlag GmbH Germany, part of Springer Nature in 2020. The translation was done with the help of artificial intelligence (machine translation by the service DeepL.com) and in a subsequent editing, improved by the author. Springer Nature works continuously to further the development of tools for the production of books and on the related technologies to support the authors.
lt;b>Prof. Dr. Ludger Rüschendorf has been a professor at the University of Freiburg in the field of mathematical stochastics since 1993. Previously, he taught and conducted research at the universities of Hamburg, Aachen, Freiburg and Münster.
Option pricing in models in discrete time.- Scorohod's embedding theorem and Donsker's theorem.- Stochastic integration.- Elements of stochastic analysis.- Option pricing in complete and incomplete markets.- Utility optimization, minimum distance martingales, and utility indiff.- Variance-minimum hedging.
| Erscheinungsdatum | 07.04.2023 |
|---|---|
| Reihe/Serie | Mathematics Study Resources |
| Zusatzinfo | IX, 304 p. 1 illus. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 479 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik | |
| Schlagworte | Benefit optimization • Black-Scholes Model • Donsker theorem • Donskert theorem • Exponential levy models • hedging strategies • Itô formula • Martingale • Martingales and semi-martingales • Optimal hedging strategies • Option pricing • Option valuation in complete and incomplete markets • Option valuation in complete markets • Option valuation in incomplete markets • portfolio optimization • Skorohod embedding theorem • Skorohods embedding theorem • stochastic analysis • stochastic integral • Time constant models • Utility optimization |
| ISBN-10 | 3-662-64710-9 / 3662647109 |
| ISBN-13 | 978-3-662-64710-3 / 9783662647103 |
| Zustand | Neuware |
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