Financial Stochastic Analysis

Tomas Cipra ()
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Tomas Cipra: Charles University of Prague, Dept. of Statistics, Faculty of Mathematics and Physics

Chapter Chapter 15 in Financial and Insurance Formulas, 2010, pp 123-139 from Springer

Abstract: Abstract Chapter 15 deals with formulas of stochastic calculus: 15.1. Wiener Process in Finance, 15.2. Poisson Process in Finance, 15.3. Ito Stochastic Integral, 15.4. Stochastic Differential Equations SDE, 15.5. Ito’s Lemma, 15.6. Girsanov Theorem on Equivalent Martingale Probability, 15.7. Theorem on Martingale Representation, 15.8. Derivatives Pricing by Means of Equivalent Martingale Probabilities, 15.9. Derivatives Pricing by Means of Partial Differential Equations PDE, 15.10. Term Structure Modeling.

Keywords: Interest Rate; Stochastic Differential Equation; Wiener Process; Partial Differential Equation; Strike Price (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2593-0_15

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DOI: 10.1007/978-3-7908-2593-0_15

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