LEADER 05559nam 22007094a 450 001 9910831197103321 005 20170815114437.0 010 $a1-280-41150-3 010 $a9786610411504 010 $a0-470-36217-0 010 $a0-471-79321-3 010 $a0-471-79320-5 035 $a(CKB)1000000000239345 035 $a(EBL)257073 035 $a(SSID)ssj0000183113 035 $a(PQKBManifestationID)11169892 035 $a(PQKBTitleCode)TC0000183113 035 $a(PQKBWorkID)10173052 035 $a(PQKB)10580022 035 $a(MiAaPQ)EBC257073 035 $a(OCoLC)85820985 035 $a(CaSebORM)9780471716426 035 $a(PPN)170220036 035 $a(EXLCZ)991000000000239345 100 $a20051101d2006 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aIntroductory stochastic analysis for finance and insurance$b[electronic resource] /$fX. Sheldon Lin 205 $a1st edition 210 $aHoboken, N.J. $cJohn Wiley$dc2006 215 $a1 online resource (250 p.) 225 1 $aWiley series in probability and statistics 300 $aDescription based upon print version of record. 311 $a0-471-71642-1 320 $aIncludes bibliographical references (p. 217-219) and index. 327 $aIntroductory Stochastic Analysis for Finance and InsuranceIntroductory Stochastic Analysis for Finance and Insurance; CONTENTS; List of Figures; List of Tables; Preface; 1 Introduction; 2 Overview of Probability Theory; 2.1 Probability Spaces and Information Structures; 2.2 Random Variables, Moments and Transforms; LIST OF FIGURES; 2.1. The price of a stock over a two-day period.; 2.3 Multivariate Distributions; 2.4 Conditional Probability and Conditional Distributions; 2.2. The probability tree of the stock price over a two-day period.; 2.5 Conditional Expectation 327 $a2.3. The expectation tree of the stock price over a two-day period.2.6 The Central Limit Theorem; 3 Discrete-Time Stochastic Processes; 3.1 Stochastic Processes and Information Structures; 3.2 Random Walks; 3.1. The tree of a standard random walk.; 3.2. The binomial model of the stock price.; 3.3 Discrete-Time Markov Chains; 3.3. The binomial tree of the stock price.; 3.4 Martingales and Change of Probability Measure; 3.5 Stopping Times; 3.6 Option Pricing with Binomial Models; 3.4. The returns of a stock and a bond.; 3.5. The payoff function of a call.; 3.6. The payoff function of a put. 327 $a3.7. The payoff function of a strangle.3.7 Binomial Interest Rate Models; LIST OF TABLES; 3.1. A sample of quotes on U.S. Treasuries.; 3.8. Treasury yield curve, Treasury zero curve, and Treasury forward rate curve based on the quotes in Table 3.1.; 3.2. The market term structure.; 3.9. Constructing a short rate tree: step one.; 3.10. Constructing a short rate tree: step two.; 3.11. The complete short rate tree.; 4 Continuous-Time Stochastic Processes; 4.1 General Description of Continuous-Time Stochastic Processes; 4.2 Brownian Motion 327 $a4.1. A sample path of standard Brownian motion (? = 0 and ? = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with ? = 1 and ? = 1.; 4.3. A sample path of Brownian motion with ? = -1 and ? = 1.; 4.4. A sample path of Brownian motion with ? = 0 and ? = 2.; 4.5. A sample path of Brownian motion with ? = 0 and ? = 0.5.; 4.6. A path of standard Brownian motion reflected after hitting.; 4.7. A path of standard Brownian motion reflected before hitting.; 4.4 The Poisson Process and Compound Poisson Process 327 $a4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {X?(t)}.; 4.5 Martingales; 4.6 Stopping Times and the Optional Sampling Theorem; 5 Stochastic Calculus: Basic Topics; 5.1 Stochastic (Ito) Integration; 5.2 Stochastic Differential Equations; 5.3 One-Dimensional Ito's Lemma; 5.1. The product rules in stochastic calculus.; 5.4 Continuous-Time Interest Rate Models; 5.5 The Black-Scholes Model and Option Pricing Formula; 5.6 The Stochastic Version of Integration by Parts; 5.7 Exponential Martingales; 5.8 The Martingale Representation Theorem 327 $a6 Stochastic Calculus: Advanced Topics 330 $aIncorporates the many tools needed for modeling and pricing in finance and insuranceIntroductory Stochastic Analysis for Finance and Insurance introduces readers to the topics needed to master and use basic stochastic analysis techniques for mathematical finance. The author presents the theories of stochastic processes and stochastic calculus and provides the necessary tools for modeling and pricing in finance and insurance. Practical in focus, the book's emphasis is on application, intuition, and computation, rather than theory.Consequently, the text is of interest to graduate 410 0$aWiley series in probability and statistics. 606 $aFinance$xMathematical models 606 $aInsurance$xMathematical models 606 $aStochastic analysis 615 0$aFinance$xMathematical models. 615 0$aInsurance$xMathematical models. 615 0$aStochastic analysis. 676 $a332.01/51923 676 $a368.010151922 700 $aLin$b X. Sheldon$0739358 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910831197103321 996 $aIntroductory stochastic analysis for finance and insurance$93934599 997 $aUNINA