Douglas Kennedy

Stochastic Financial Models (eBook, PDF)

• Format: PDF

Produktbeschreibung

Developed from the esteemed author's advanced undergraduate and graduate courses at the University of Cambridge, this text provides a hands-on, sound introduction to mathematical finance. Assuming no prior knowledge of stochastic calculus or measure-theoretic probability, the author includes the relevant mathematical background as well as many exercises with solutions. He first presents the classical topics of utility and the mean-variance approach to portfolio choice. Focusing on derivative pricing, the text then covers the binomial model, the general discrete-time model, Brownian motion, the Black-Scholes model, and various interest-rate models.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 264
• Erscheinungstermin: 19. April 2016
• Englisch
• ISBN-13: 9781439882719
• Artikelnr.: 56959103

Autorenporträt

Douglas Kennedy is a Fellow of Trinity College in Cambridge, UK.

Inhaltsangabe

Portfolio Choice. The Binomial Model. A General Discrete
Time Model. Brownian Motion. The Black
Scholes Model. Interest
Rate Models. Solutions. Appendices. Further Reading. References. Index.