Publisher: World Scientific Publishing Company
Number of Pages: 852

ESSENTIALS OF STOCHASTIC FINANCE
Facts, Models, Theory

by Albert N Shiryaev (Steklov Mathematical Institute & Moscow State University)


This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.

Contents:

• Facts. Models:
• Main Concepts, Structures, and Instruments. Aims and Problems of Financial Theory and Financial Engineering
• Stochastic Models. Discrete Time
• Stochastic Models. Continuous Time
• Statistical Analysis of Financial Data
• Theory:
• Theory of Arbitrage in Stochastic Financial Models. Discrete Time
• Theory of Pricing in Stochastic Financial Models. Discrete Time
• Theory of Arbitrage in Stochastic Financial Models. Continuous Time
• Theory of Pricing in Stochastic Financial Models. Continuous Time