國立虎尾科技大學 |

Introduction to Stochastic Finance

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Introduction to Stochastic Finance/ by Jia-An Yan.
Author:	Yan, Jia-An.
Description:	XIV, 403 p. 6 illus.online resource. :
Contained By:	Springer Nature eBook
Subject:	Economics, Mathematical . -
Online resource:	https://doi.org/10.1007/978-981-13-1657-9
ISBN:	9789811316579

Introduction to Stochastic Finance
Yan, Jia-An.

Introduction to Stochastic Finance[electronic resource] /by Jia-An Yan. - 1st ed. 2018. - XIV, 403 p. 6 illus.online resource. - Universitext,0172-5939. - Universitext,.

Foundation of Probability Theory and Discrete-time Martingales -- Portfolio Selection Theory in Discrete Time -- Financial Markets in Discrete Time -- Martingale Theory and Itˆo Stochastic Analysis -- The Black-Scholes Model and Its Modifications -- Pricing and Hedging of Exotic Options -- Itˆo Process and Diffusion Models -- Term Structure Models For Interest Rates -- Optimal Investment-Consumption Strategies in Diffusion Models -- Static Risk Measures -- Stochastic Calculus and Semimartingale Model -- Optimal Investment in Incomplete Markets -- Martingale Method for Utility Maximization -- Optimal Growth Portfolios and Option Pricing.

This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.

ISBN: 9789811316579

Standard No.: 10.1007/978-981-13-1657-9doiSubjects--Topical Terms:

1253712
Economics, Mathematical .

LC Class. No.: HB135-147

Dewey Class. No.: 519

Introduction to Stochastic Finance
LDR:02533nam a22003975i 4500 001 986994
003 DE-He213
005 20200704104135.0
007 cr nn 008mamaa
008 201225s2018 si | s |||| 0|eng d
020 $a 9789811316579 $9 978-981-13-1657-9
024 7 $a 10.1007/978-981-13-1657-9 $2 doi
035 $a 978-981-13-1657-9
050 4 $a HB135-147
072 7 $a KF $2 bicssc
072 7 $a MAT003000 $2 bisacsh
072 7 $a KF $2 thema
082 0 4 $a 519 $2 23
100 1 $a Yan, Jia-An. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1210526
245 1 0 $a Introduction to Stochastic Finance $h [electronic resource] / $c by Jia-An Yan.
250 $a 1st ed. 2018.
264 1 $a Singapore : $b Springer Singapore : $b Imprint: Springer, $c 2018.
300 $a XIV, 403 p. 6 illus. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a Universitext, $x 0172-5939
505 0 $a Foundation of Probability Theory and Discrete-time Martingales -- Portfolio Selection Theory in Discrete Time -- Financial Markets in Discrete Time -- Martingale Theory and Itˆo Stochastic Analysis -- The Black-Scholes Model and Its Modifications -- Pricing and Hedging of Exotic Options -- Itˆo Process and Diffusion Models -- Term Structure Models For Interest Rates -- Optimal Investment-Consumption Strategies in Diffusion Models -- Static Risk Measures -- Stochastic Calculus and Semimartingale Model -- Optimal Investment in Incomplete Markets -- Martingale Method for Utility Maximization -- Optimal Growth Portfolios and Option Pricing.
520 $a This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.
650 0 $a Economics, Mathematical . $3 1253712
650 0 $a Statistics . $3 1253516
650 1 4 $a Quantitative Finance. $3 669372
650 2 4 $a Statistics for Business, Management, Economics, Finance, Insurance. $3 1211158
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9789811316562
776 0 8 $i Printed edition: $z 9789811316586
830 0 $a Universitext, $x 0172-5939 $3 1253835
856 4 0 $u https://doi.org/10.1007/978-981-13-1657-9
912 $a ZDB-2-SMA
912 $a ZDB-2-SXMS
950 $a Mathematics and Statistics (SpringerNature-11649)
950 $a Mathematics and Statistics (R0) (SpringerNature-43713)