These lecture notes are based on a graduate course given for several years at Vilnius University as part of the master program Financial and Actuarial Mathematics. They are intended to give a short introduction to continuous-time financial models including Black--Scholes and interest rate models. Some basic knowledge of stochastic integration and differential equations theory is preferable, although, formally, all the preliminary information is given in part 1 of the lecture notes.
- About continuous-time stochastic models of financial mathematics
- Black-Sholes model and interest rate models
- Requiring a minimum knowledge of stochastic integration and stochastic differential equations
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|Size: ||4.9 MB|
|Publisher: ||ISTE Press - Elsevier|
|Date published: || 2016|
|ISBN: ||9780081020869 (DRM-EPUB)|
|Read Aloud: ||not allowed|