ISBN 13 : 978-1-119-96583-1

Sommaire :
1 General Probability Theory
1.1 Introduction
1.2 Problems and Solutions
1.2.1 Probability Spaces
1.2.2 Discrete and Continuous Random Variables
1.2.3 Properties of Expectations

2 Wiener Process
2.1 Introduction
2.2 Problems and Solutions
2.2.1 Basic Properties
2.2.2 Markov Property
2.2.3 Martingale Property
2.2.4 First Passage Time
2.2.5 Reflection Principle
2.2.6 Quadratic Variation

3 Stochastic Differential Equations
3.1 Introduction
3.2 Problems and Solutions
3.2.1 Itō Calculus
3.2.2 One-Dimensional Diffusion Process
3.2.3 Multi-Dimensional Diffusion Process

4 Change of Measure
4.1 Introduction
4.2 Problems and Solutions
4.2.1 Martingale Representation Theorem
4.2.2 Girsanov's Theorem
4.2.3 Risk-Neutral Measure

5 Poisson Process
5.1 Introduction
5.2 Problems and Solutions
5.2.1 Properties of Poisson Process
5.2.2 Jump Diffusion Process
5.2.3 Girsanov's Theorem for Jump Processes
5.2.4 Risk-Neutral Measure for Jump Processes

Appendix A Mathematics Formulae
Appendix B Probability Theory Formulae
Appendix C Differential Equations Formulae

Bibliography
Notation
Index

Langue : Anglais

Collection : WILEY FINANCE SERIES

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque