Stochastic Processes and Financial Markets

Parikh, Jitendra C.

Alpha Science Intl Ltd（2003/01発売）

• 製本 Hardcover:ハードカバー版／ページ数 152 p.
• 言語 ENG
• 商品コード 9781842651582
• DDC分類 658

Full Description

Aimed at providing an introduction to fundamental concepts and mathematical foundations essential for studying dynamics of financial markets, this volume focuses on stochastic processes and the manner in which they provide the basic framework for modeling the markets. The overall objective is to make the presentation concrete and illustrate successes and limitations of models. In the process, readers are also made aware of a number of advances in the field.

Contents

Introduction / Probability Theory (A Brief Review) / Random Variables and Probability Theory / Derivatives and No Arbitrage Assumption / Distribution Law for a Sum of Independent Random Variables/ Stochastic (or Random) Processes / Two Specific Stochastic Processes / Stochastic Calculus / The Black-Scholes Model / Statistical Analysis of Data / Going Beyond the Black-Scholes Model / Appendix A / References / Index.