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Financial modeling: a backward stochastic differential equations perspective

✍ Scribed by Crepey, Stephane

Publisher
Springer
Year
2013
Tongue
English
Leaves
463
Series
Springer finance
Edition
1st ed
Category
Library
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✦ Table of Contents

Part I: An Introductory Course in Stochastic Processes.- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes.- 3.Elements of Stochastic Analysis.- Part II: Pricing Equations.- 4.Martingale Modeling.- 5.Benchmark Models.- Part III: Numerical Solutions.- 6.Monte Carlo Methods.- 7.Tree Methods.- 8.Finite Differences.- 9.Callibration Methods.- Part IV: Applications.- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups.- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups.- Part V: Jump-Diffusion Setup with Regime Switching ().- 12.Backward Stochastic Differential Equations.- 13.Analytic Approach.- 14.Extensions.- Part VI: Appendix.- A.Technical Proofs ().- B.Exercises.- C.Corrected Problem Sets.

✦ Subjects

Business mathematics;Ecuaciones diferenciales estocásticas;Matemáticas financieras;Stochastic differential equations;Matemáticas financieras;Ecuaciones diferenciales estocásticas

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