HUDU

Stochastic Calculus for Finance I


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Juni 2005

Beschreibung

Beschreibung

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

Inhaltsverzeichnis

1. The Binomial No-Arbitrage Pricing Model
1.1. One-Period Binomial Model
1.2. Multiperiod Binomial Model
1.3. Computational Considerations
1.4. Summary
1.5. Notes
1.6. Exercises 2. Probability Theory on Coin Toss Space
2.1. Finite Probability Spaces
2.2. Random Variables, Distributions, and Expectations
2.3. Conditional Expectations
2.4. Martingales
2.5. Markov Processes
2.6. Summary
2.7. Notes
2.8. Exercises 3. State Prices
3.1. Change of Measure
3.2. Radon-Nikod\'ym Derivative Process
3.3. Capital Asset Pricing Model
3.4. Summary
3.5. Notes
3.6. Exercises 4. American Derivative Securities
4.1. Introduction
4.2. Non-Path-Dependent American Derivatives
4.3. Stopping Times
4.4. General American Derivatives
4.5. American Call Options
4.6. Summary
4.7. Notes
4.8. Exercises 5. Random Walk
5.1. Introduction
5.2. First Passage Times
5.3. Reflection Principle
5.4. Perpetual American Put: An Example
5.5. Summary
5.6. Notes
5.7. Exercises 6. Interest-Rate-Dependent Assets
6.1. Introduction
6.2. Binomial Model for Interest Rates
6.3. Fixed-Income Derivatives
6.4. Forward Measures
6.5. Futures
6.6. Summary
6.7. Notes
6.8. Exercises Proof of Fundamental Properties of Conditional Expectations
References
Index
EAN: 9780387249681
ISBN: 0387249680
Untertitel: The Binomial Asset Pricing Model. 2004. Auflage. Book. Sprache: Englisch.
Verlag: Springer
Erscheinungsdatum: Juni 2005
Seitenanzahl: 208 Seiten
Format: kartoniert
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