Essentials of stochastic finance : facts, models, theory

書誌事項

Essentials of stochastic finance : facts, models, theory

Albert N. Shiryaev ; translated from the Russian by N. Kruzhilin

(Advanced series on statistical science & applied probability, v. 3)

World Scientific, c1999

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注記

Bibliography: p.[803]-824

Includes indexes

内容説明・目次

内容説明

This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.

目次

  • Part 1 Facts. Part 2 Models: main concepts, structures and instruments
  • aims and problems of financial theory and financial engineering
  • stochastic models - discrete time
  • stochastic models - continuous time
  • statistical analysis of financial data. Part 3 Theory: theory of arbitrage in stochastic financial models - discrete time
  • theory of pricing in stochastic financial models - discrete time
  • theory of arbitrage in stochastic financial models - continuous time
  • theory of pricing in stochastic financial models - continuous time.

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