Basic Concepts and Examples in Finance

Monique Jeanblanc (), Marc Yor and Marc Chesney
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Monique Jeanblanc: Université d’Evry
Marc Yor: Université Paris VI
Marc Chesney: Universität Zürich

Chapter 2 in Mathematical Methods for Financial Markets, 2009, pp 79-134 from Springer

Abstract: Abstract In this chapter, we present briefly the main concepts in mathematical finance as well as some straightforward applications of stochastic calculus for continuous-path processes. We study in particular the general principle for valuation of contingent claims, the Feynman-Kac approach, the Ornstein-Uhlenbeck and Vasicek processes, and, finally, the pricing of European options.

Keywords: Interest Rate; Brownian Motion; Risky Asset; Contingent Claim; Dividend Yield (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-1-84628-737-4_2

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DOI: 10.1007/978-1-84628-737-4_2

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