LEADER 02514oam 2200601I 450 001 9910821416503321 005 20200520144314.0 010 $a0-429-18478-6 010 $a1-4200-9346-0 010 $a1-4398-8271-1 024 7 $a10.1201/b17182 035 $a(CKB)3710000000312855 035 $a(EBL)1416274 035 $a(SSID)ssj0001358899 035 $a(PQKBManifestationID)11780767 035 $a(PQKBTitleCode)TC0001358899 035 $a(PQKBWorkID)11299558 035 $a(PQKB)10444989 035 $a(Au-PeEL)EBL1416274 035 $a(CaPaEBR)ebr11030848 035 $a(OCoLC)890721142 035 $a(CaSebORM)9781439882719 035 $a(MiAaPQ)EBC1416274 035 $a(EXLCZ)993710000000312855 100 $a20180331d2010 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aStochastic financial models /$fDouglas Kennedy 210 1$aBoca Raton :$cCRC Press,$d2010. 215 $a1 online resource (264 p.) 225 1 $aChapman & Hall/CRC financial mathematics series 300 $aDescription based upon print version of record. 311 $a1-4200-9345-2 320 $aIncludes bibliographical references. 327 $a1. Portfolio choice -- 2. The binomial model -- 3. A general discrete-time model -- 4. Brownian motion -- 5. The Black-Scholes model -- 6. Interest-rate models. 330 $aPortfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe Black-Scholes ModelIntroductionThe Black-Scholes formulaHedging and the Black-Scholes equationPath-dependent claimsDividend-paying assetsInterest-Rate ModelsIntroductionSurvey of interest-rate modelsGaussian random-field modelAppendix A: Mathematical PreliminariesAppendix B: Solutions to the ExercisesFurthe 410 0$aChapman & Hall/CRC financial mathematics series. 606 $aInvestments$xMathematical models 606 $aStochastic analysis 615 0$aInvestments$xMathematical models. 615 0$aStochastic analysis. 676 $a332.632042 700 $aKennedy$b Douglas.$0471012 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910821416503321 996 $aStochastic financial models$93998301 997 $aUNINA