02514oam 2200601I 450 991078711520332120200520144314.00-429-18478-61-4200-9346-01-4398-8271-110.1201/b17182 (CKB)3710000000312855(EBL)1416274(SSID)ssj0001358899(PQKBManifestationID)11780767(PQKBTitleCode)TC0001358899(PQKBWorkID)11299558(PQKB)10444989(Au-PeEL)EBL1416274(CaPaEBR)ebr11030848(OCoLC)890721142(CaSebORM)9781439882719(MiAaPQ)EBC1416274(EXLCZ)99371000000031285520180331d2010 uy 0engur|n|---|||||txtccrStochastic financial models /Douglas KennedyBoca Raton :CRC Press,2010.1 online resource (264 p.)Chapman & Hall/CRC financial mathematics seriesDescription based upon print version of record.1-4200-9345-2 Includes bibliographical references.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.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 ExercisesFurtheChapman & Hall/CRC financial mathematics series.InvestmentsMathematical modelsStochastic analysisInvestmentsMathematical models.Stochastic analysis.332.632042Kennedy Douglas.471012MiAaPQMiAaPQMiAaPQBOOK9910787115203321Stochastic financial models3829200UNINA