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Record Nr. |
UNINA9910459823503321 |
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Autore |
Kennedy Douglas. |
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Titolo |
Stochastic financial models / / Douglas Kennedy |
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Pubbl/distr/stampa |
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Boca Raton : , : CRC Press, , 2010 |
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ISBN |
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0-429-18478-6 |
1-4200-9346-0 |
1-4398-8271-1 |
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Descrizione fisica |
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1 online resource (264 p.) |
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Collana |
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Chapman & Hall/CRC financial mathematics series |
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Disciplina |
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Soggetti |
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Investments - Mathematical models |
Stochastic analysis |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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1. Portfolio choice -- 2. The binomial model -- 3. A general discrete-time model -- 4. Brownian motion -- 5. The Black-Scholes model -- 6. Interest-rate models. |
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Sommario/riassunto |
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Portfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe Black-Scholes ModelIntroductionThe Black-Scholes formulaHedging and the Black-Scholes equationPath-dependent claimsDividend-paying assetsInterest-Rate ModelsIntroductionSurvey of interest-rate modelsGaussian random-field modelAppendix A: Mathematical PreliminariesAppendix B: Solutions to the ExercisesFurthe |
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