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Problems and solutions in mathematical finance

Problems and solutions in mathematical finance (Loan 4 times)

Material type
단행본
Personal Author
Chin, Eric, 1971-. Nel, Dian, 1979-. Olafsson, Sverrir, 1950-.
Title Statement
Problems and solutions in mathematical finance / Eric Chin, Dian Nel and Sverrir Ólafsson.
Publication, Distribution, etc
Chichester, West Sussex, UK :   Wiley,   2014.  
Physical Medium
v. ; 26 cm.
Series Statement
Wiley finance series
ISBN
9781119965831 (cloth)
Content Notes
v.1. stochastic calculus.
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Finance --Mathematical models. Stochastic analysis.
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001 000045834803
005 20150527095932
008 150526s2014 enk b 001 0 eng d
010 ▼a 2013043864
020 ▼a 9781119965831 (cloth)
035 ▼a (KERIS)REF000017310518
040 ▼a DLC ▼b eng ▼c DLC ▼e rda ▼d DLC ▼d 211009
050 0 0 ▼a HG106 ▼b .C495 2014
082 0 0 ▼a 332.01/51922 ▼2 23
084 ▼a 332.0151922 ▼2 DDCK
090 ▼a 332.0151922 ▼b C539p
100 1 ▼a Chin, Eric, ▼d 1971-.
245 1 0 ▼a Problems and solutions in mathematical finance / ▼c Eric Chin, Dian Nel and Sverrir Ólafsson.
260 ▼a Chichester, West Sussex, UK : ▼b Wiley, ▼c 2014.
300 ▼a v. ; ▼c 26 cm.
490 1 ▼a Wiley finance series
504 ▼a Includes bibliographical references and index.
505 1 0 ▼g v.1. ▼t stochastic calculus.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Stochastic analysis.
700 1 ▼a Nel, Dian, ▼d 1979-.
700 1 ▼a Olafsson, Sverrir, ▼d 1950-.
830 0 ▼a Wiley finance series.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.0151922 C539p Accession No. 121233272 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

Preface ix

Prologue xi

About the Authors xv

1 General Probability Theory 1

1.1 Introduction 1

1.2 Problems and Solutions 4

1.2.1 Probability Spaces 4

1.2.2 Discrete and Continuous Random Variables 11

1.2.3 Properties of Expectations 41

2 Wiener Process 51

2.1 Introduction 51

2.2 Problems and Solutions 55

2.2.1 Basic Properties 55

2.2.2 Markov Property 68

2.2.3 Martingale Property 71

2.2.4 First Passage Time 76

2.2.5 Reflection Principle 84

2.2.6 Quadratic Variation 89

3 Stochastic Differential Equations 95

3.1 Introduction 95

3.2 Problems and Solutions 102

3.2.1 It¯o Calculus 102

3.2.2 One-Dimensional Diffusion Process 123

3.2.3 Multi-Dimensional Diffusion Process 155

4 Change of Measure 185

4.1 Introduction 185

4.2 Problems and Solutions 192

4.2.1 Martingale Representation Theorem 192

4.2.2 Girsanov’s Theorem 194

4.2.3 Risk-Neutral Measure 221

5 Poisson Process 243

5.1 Introduction 243

5.2 Problems and Solutions 251

5.2.1 Properties of Poisson Process 251

5.2.2 Jump Diffusion Process 281

5.2.3 Girsanov’s Theorem for Jump Processes 298

5.2.4 Risk-Neutral Measure for Jump Processes 322

Appendix A Mathematics Formulae 331

Appendix B Probability Theory Formulae 341

Appendix C Differential Equations Formulae 357

Bibliography 365

Notation 369

Index 373


Information Provided By: : Aladin

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