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Stochastic Models of Financial Mathematics

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by Vigirdas Mackevicius
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Stochastic Models of Financial Mathematics by Vigirdas Mackevicius

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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Ebook Details
Pages: 130
Size: 4.9 MB
Publisher: ISTE Press - Elsevier
Date published:   2016
ISBN: 9780081020869 (DRM-EPUB)
2370007675326 (DRM-PDF)

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Nonfiction > Mathematics > Probability & Statistics > Stochastic Processes

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