Preface to the Second Edition
Preface to the First Edition
Contents
1 Short Review of Probability and of Stochastic Processes
1.1 Review of Theory
1.2 Solved Exercises
1.3 Proposed Exercises
2 Portfolio Optimization in Discrete-Time Models
2.1 Review of Theory
2.2 Solved Exercises
2.3 Proposed Exercises
3 Binomial Model for Option Pricing
3.1 Review of Theory
3.2 Solved Exercises
3.3 Proposed Exercises
4 Absence of Arbitrage and Completeness of Market Models
4.1 Review of Theory
4.2 Solved Exercises
4.3 Proposed Exercises
5 ItΓ΄'s Formula and Stochastic Differential Equations
5.1 Review of Theory
5.2 Solved Exercises
5.3 Proposed Exercises
6 Partial Differential Equations in Finance
6.1 Review of Theory
6.2 Solved Exercises
6.3 Proposed Exercises
7 Black-Scholes Model for Option Pricing and Hedging Strategies
7.1 Review of Theory
7.2 Solved Exercises
7.3 Proposed Exercises
8 American Options
8.1 Review of Theory
8.2 Solved Exercises
8.3 Proposed Exercises
9 Exotic Options
9.1 Review of Theory
9.2 Solved Exercises
9.3 Proposed Exercises
10 Interest Rate Models
10.1 Review of Theory
10.2 Solved Exercises
10.3 Proposed Exercises
11 Pricing Models Beyond Black-Scholes
11.1 Review of Theory
11.2 Solved Exercises
11.3 Proposed Exercises
12 Risk Measures: Value at Risk and Beyond
12.1 Review of Theory
12.2 Solved Exercises
12.3 Proposed Exercises
References
Index
