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An introduction to mathematical finance : options and other topics / Sheldon M. Ross
| An introduction to mathematical finance : options and other topics / Sheldon M. Ross |
| Autore | Ross, Sheldon M. |
| Pubbl/distr/stampa | New York : Cambridge University Press, 1999 |
| Descrizione fisica | xv, 184 p. : ill. ; 24 cm |
| Disciplina | 332.601 |
| Soggetto topico |
Investments-mathematics
Options (Finance)-mathematical models Securities-prices-mathematical models Stochastic analysis |
| ISBN | 0521770432 |
| Classificazione | AMS 91B28 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001020439707536 |
Ross, Sheldon M.
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| New York : Cambridge University Press, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Introduction to stochastic analysis : integrals and differential equations / / Vigirdas Mackevicius
| Introduction to stochastic analysis : integrals and differential equations / / Vigirdas Mackevicius |
| Autore | Mackevicius Vigirdas |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | London, : ISTE Ltd |
| Descrizione fisica | 1 online resource (278 pages) |
| Disciplina | 519.22 |
| Collana | Applied stochastic methods series |
| Soggetto topico | Stochastic analysis |
| ISBN |
1-118-60333-8
1-118-60324-9 1-118-60331-1 1-299-18782-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1.Introduction: Basic Notions of Probability Theory -- Chapter 2. Brownian Motion -- Chapter 3. Stochastic Models with Brownian Motion and White Noise -- Chapter 4. Integral with Respect to Brownian Motion -- Chapter 5. AccessItô's Formula -- Chapter 6. Stochastic Differential Equations -- Chapter 7. AccessItô Processes -- Chapter 8. Stratonovich Integral and Equations -- Chapter 9. Stochastic Differential Equations -- Chapter 10. Solutions of SDEs as Markov Diffusion Processes -- Chapter 11. Chapter 12. Example in Finance: Black-Scholes Model -- Chapter 13. Numerical Solution of Stochastic Differential Equations Chapter 14. Elements of Multidimensional Stochastic Analysis. |
| Record Nr. | UNINA-9910138862503321 |
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Mackevicius Vigirdas
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||
| London, : ISTE Ltd | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introduction to stochastic analysis : integrals and differential equations / / Vigirdas Mackevicius
| Introduction to stochastic analysis : integrals and differential equations / / Vigirdas Mackevicius |
| Autore | Mackevicius Vigirdas |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | London, : ISTE Ltd |
| Descrizione fisica | 1 online resource (278 pages) |
| Disciplina | 519.22 |
| Collana | Applied stochastic methods series |
| Soggetto topico | Stochastic analysis |
| ISBN |
1-118-60333-8
1-118-60324-9 1-118-60331-1 1-299-18782-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1.Introduction: Basic Notions of Probability Theory -- Chapter 2. Brownian Motion -- Chapter 3. Stochastic Models with Brownian Motion and White Noise -- Chapter 4. Integral with Respect to Brownian Motion -- Chapter 5. AccessItô's Formula -- Chapter 6. Stochastic Differential Equations -- Chapter 7. AccessItô Processes -- Chapter 8. Stratonovich Integral and Equations -- Chapter 9. Stochastic Differential Equations -- Chapter 10. Solutions of SDEs as Markov Diffusion Processes -- Chapter 11. Chapter 12. Example in Finance: Black-Scholes Model -- Chapter 13. Numerical Solution of Stochastic Differential Equations Chapter 14. Elements of Multidimensional Stochastic Analysis. |
| Record Nr. | UNINA-9910815238803321 |
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Mackevicius Vigirdas
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| London, : ISTE Ltd | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Introduction to stochastic calculus with applications / Fima C. Klebaner
| Introduction to stochastic calculus with applications / Fima C. Klebaner |
| Autore | Klebaner, Fima C. |
| Pubbl/distr/stampa | London : Imperial College Press |
| Descrizione fisica | xi, 321 p. : ill. ; 23 cm |
| Disciplina | 519.2 |
| Soggetto topico |
Stochastic analysis
Calculus |
| ISBN | 186094129X |
| Classificazione | AMS 60-01 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001432759707536 |
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Klebaner, Fima C.
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| London : Imperial College Press | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina |
332.01/51923
368.010151922 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
1-280-41150-3
9786610411504 0-470-36217-0 0-471-79321-3 0-471-79320-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory 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
2.3. 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. 3.7. 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 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 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 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(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 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9910145033603321 |
|
Lin X. Sheldon
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||
| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina |
332.01/51923
368.010151922 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
1-280-41150-3
9786610411504 0-470-36217-0 0-471-79321-3 0-471-79320-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory 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
2.3. 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. 3.7. 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 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 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 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(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 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9910831197103321 |
|
Lin X. Sheldon
|
||
| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance [[electronic resource] /] / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina |
332.01/51923
368.010151922 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
1-280-41150-3
9786610411504 0-470-36217-0 0-471-79321-3 0-471-79320-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory 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
2.3. 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. 3.7. 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 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 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 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(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 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9910841302203321 |
|
Lin X. Sheldon
|
||
| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910457662903321 |
|
Applebaum David <1956->
|
||
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910784320403321 |
|
Applebaum David <1956->
|
||
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910828068103321 |
|
Applebaum David <1956->
|
||
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Stochastic analysis
(249)
- Stochastic processes (23)
- Finance - Mathematical models (15)
- Markov processes (14)
- Anàlisi estocàstica (11)