Continuous Time Asset Pricing Models In Applied Stochastic Finance

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Continuous-time Asset Pricing Models in Applied Stochastic Finance

P. C. G. Vassiliou
Continuous time Asset Pricing Models in Applied Stochastic Finance Book PDF

Author : P. C. G. Vassiliou
Publisher : Wiley-ISTE
Page : 0 pages
File Size : 51,9 Mb
Release : 2014-07-08
Category : Mathematics
ISBN : 1848211597

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Continuous-time Asset Pricing Models in Applied Stochastic Finance by P. C. G. Vassiliou Pdf

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance. In Volume 2 we study continuous time models by presenting the necessary material from continuous martingales, measure theory and stochastic differential equations as models for various assets, such as the Wiener process, Brownian motion, etc. We then build, with many examples and intuitive explanations, the necessary stochastic analysis background i.e. Itô’s lemma, stochastic integration, Girsanovís theorem, etc. The book then guides the reader into the pricing of vanilla options in continuous time i.e. the continuous time models of Black and Scholes, followed by interest rate models and the models of Heath-Jarrow-Morton and the forward Libor model. The final part of the book presents the pricing of credit derivatives.

Discrete-time Asset Pricing Models in Applied Stochastic Finance

P. C. G. Vassiliou
Discrete time Asset Pricing Models in Applied Stochastic Finance Book PDF

Author : P. C. G. Vassiliou
Publisher : John Wiley & Sons
Page : 296 pages
File Size : 48,8 Mb
Release : 2013-03-01
Category : Mathematics
ISBN : 9781118618660

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Discrete-time Asset Pricing Models in Applied Stochastic Finance by P. C. G. Vassiliou Pdf

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance. Volume 1 starts with the introduction of the basic financial instruments and the fundamental principles of financial modeling and arbitrage valuation of derivatives. Next, we use the discrete-time binomial model to introduce all relevant concepts. The mathematical simplicity of the binomial model also provides us with the opportunity to introduce and discuss in depth concepts such as conditional expectations and martingales in discrete time. However, we do not expand beyond the needs of the stochastic finance framework. Numerous examples, each highlighted and isolated from the text for easy reference and identification, are included. The book concludes with the use of the binomial model to introduce interest rate models and the use of the Markov chain model to introduce credit risk. This volume is designed in such a way that, among other uses, makes it useful as an undergraduate course.

Continuous-Time Asset Pricing Theory

Robert A. Jarrow
Continuous Time Asset Pricing Theory Book PDF

Author : Robert A. Jarrow
Publisher : Springer Nature
Page : 470 pages
File Size : 52,8 Mb
Release : 2021-07-30
Category : Business & Economics
ISBN : 9783030744106

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Continuous-Time Asset Pricing Theory by Robert A. Jarrow Pdf

Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features ​new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.

Stochastic Calculus for Finance II

Steven Shreve
Stochastic Calculus for Finance II Book PDF

Author : Steven Shreve
Publisher : Springer
Page : 0 pages
File Size : 47,8 Mb
Release : 2010-12-13
Category : Mathematics
ISBN : 0387401016

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Stochastic Calculus for Finance II by Steven Shreve Pdf

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

Continuous-Time Finance

Robert C. Merton
Continuous Time Finance Book PDF

Author : Robert C. Merton
Publisher : Wiley-Blackwell
Page : 754 pages
File Size : 40,8 Mb
Release : 1992-11-03
Category : Business & Economics
ISBN : 0631185089

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Continuous-Time Finance by Robert C. Merton Pdf

Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.

Stochastic Methods in Asset Pricing

Andrew Lyasoff
Stochastic Methods in Asset Pricing Book PDF

Author : Andrew Lyasoff
Publisher : MIT Press
Page : 632 pages
File Size : 40,5 Mb
Release : 2017-08-25
Category : Business & Economics
ISBN : 9780262036559

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Stochastic Methods in Asset Pricing by Andrew Lyasoff Pdf

A comprehensive overview of the theory of stochastic processes and its connections to asset pricing, accompanied by some concrete applications. This book presents a self-contained, comprehensive, and yet concise and condensed overview of the theory and methods of probability, integration, stochastic processes, optimal control, and their connections to the principles of asset pricing. The book is broader in scope than other introductory-level graduate texts on the subject, requires fewer prerequisites, and covers the relevant material at greater depth, mainly without rigorous technical proofs. The book brings to an introductory level certain concepts and topics that are usually found in advanced research monographs on stochastic processes and asset pricing, and it attempts to establish greater clarity on the connections between these two fields. The book begins with measure-theoretic probability and integration, and then develops the classical tools of stochastic calculus, including stochastic calculus with jumps and Lévy processes. For asset pricing, the book begins with a brief overview of risk preferences and general equilibrium in incomplete finite endowment economies, followed by the classical asset pricing setup in continuous time. The goal is to present a coherent single overview. For example, the text introduces discrete-time martingales as a consequence of market equilibrium considerations and connects them to the stochastic discount factors before offering a general definition. It covers concrete option pricing models (including stochastic volatility, exchange options, and the exercise of American options), Merton's investment–consumption problem, and several other applications. The book includes more than 450 exercises (with detailed hints). Appendixes cover analysis and topology and computer code related to the practical applications discussed in the text.

Stochastic Calculus for Finance I

Steven Shreve
Stochastic Calculus for Finance I Book PDF

Author : Steven Shreve
Publisher : Springer Science & Business Media
Page : 212 pages
File Size : 43,5 Mb
Release : 2005-06-28
Category : Mathematics
ISBN : 0387249680

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Stochastic Calculus for Finance I by Steven Shreve Pdf

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

Stochastic Finance

Nicolas Privault
Stochastic Finance Book PDF

Author : Nicolas Privault
Publisher : CRC Press
Page : 444 pages
File Size : 48,8 Mb
Release : 2013-12-20
Category : Business & Economics
ISBN : 9781466594029

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Stochastic Finance by Nicolas Privault Pdf

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.

Mathematics of Financial Markets

Robert J Elliott,P. Ekkehard Kopp
Mathematics of Financial Markets Book PDF

Author : Robert J Elliott,P. Ekkehard Kopp
Publisher : Springer Science & Business Media
Page : 298 pages
File Size : 49,5 Mb
Release : 2013-11-11
Category : Mathematics
ISBN : 9781475771466

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Mathematics of Financial Markets by Robert J Elliott,P. Ekkehard Kopp Pdf

This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.

Introduction to Stochastic Calculus Applied to Finance, Second Edition

Damien Lamberton,Bernard Lapeyre
Introduction to Stochastic Calculus Applied to Finance Second Edition Book PDF

Author : Damien Lamberton,Bernard Lapeyre
Publisher : CRC Press
Page : 202 pages
File Size : 43,9 Mb
Release : 1996-06-01
Category : Mathematics
ISBN : 0412718006

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Introduction to Stochastic Calculus Applied to Finance, Second Edition by Damien Lamberton,Bernard Lapeyre Pdf

In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.

Asset Pricing

T. Kariya,Regina Liu
Asset Pricing Book PDF

Author : T. Kariya,Regina Liu
Publisher : Springer Science & Business Media
Page : 275 pages
File Size : 53,8 Mb
Release : 2011-06-27
Category : Business & Economics
ISBN : 9781441992307

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Asset Pricing by T. Kariya,Regina Liu Pdf

1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing. It should be accessible to a broad audi ence, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science. The no-arbitrage asset pricing theory is based on the simple and well ac cepted principle that financial asset prices are instantly adjusted at each mo ment in time in order not to allow an arbitrage opportunity. Here an arbitrage opportunity is an opportunity to have a portfolio of value aat an initial time lead to a positive terminal value with probability 1 (equivalently, at no risk), with money neither added nor subtracted from the portfolio in rebalancing dur ing the investment period. It is necessary for a portfolio of valueato include a short-sell position as well as a long-buy position of some assets.

Financial Asset Pricing Theory

Claus Munk
Financial Asset Pricing Theory Book PDF

Author : Claus Munk
Publisher : Oxford University Press, USA
Page : 598 pages
File Size : 43,9 Mb
Release : 2013-04-18
Category : Business & Economics
ISBN : 9780199585496

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Financial Asset Pricing Theory by Claus Munk Pdf

The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.

Stochastic Volatility in Financial Markets

Fabio Fornari,Antonio Mele
Stochastic Volatility in Financial Markets Book PDF

Author : Fabio Fornari,Antonio Mele
Publisher : Springer Science & Business Media
Page : 168 pages
File Size : 45,7 Mb
Release : 2000-05-31
Category : Business & Economics
ISBN : 0792378423

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Stochastic Volatility in Financial Markets by Fabio Fornari,Antonio Mele Pdf

Presenting advanced topics in financial econometrics and theoretical finance, this guide is divided into three main parts.

Stochastic Calculus for Finance II

Steven E. Shreve
Stochastic Calculus for Finance II Book PDF

Author : Steven E. Shreve
Publisher : Springer Science & Business Media
Page : 586 pages
File Size : 46,9 Mb
Release : 2004-06-03
Category : Business & Economics
ISBN : 0387401016

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Stochastic Calculus for Finance II by Steven E. Shreve Pdf

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

The Economics of Continuous-Time Finance

Bernard Dumas,Elisa Luciano
The Economics of Continuous Time Finance Book PDF

Author : Bernard Dumas,Elisa Luciano
Publisher : MIT Press
Page : 641 pages
File Size : 49,7 Mb
Release : 2017-10-27
Category : Business & Economics
ISBN : 9780262036542

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The Economics of Continuous-Time Finance by Bernard Dumas,Elisa Luciano Pdf

An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets—characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.