Introduction to stochastic finance

DOI10.1007/978-981-13-1657-9MaRDI QIDQ1668482zbMATH OpenOpenAlexFDO

Authors Jia-An Yan

Publication date 28 August 2018

Published in Universitext (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-981-13-1657-9

zbMATH Keywords

general theory of processesmartingale theorysemimartingale calculusstochastic finance

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Applications of stochastic analysis (to PDEs, etc.) (60H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Utility theory (91B16) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(13)

• scientific article; zbMATH DE number 1642343 (Why is no real title available?)
• Stochastic finance. An introduction in discrete time.
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• scientific article; zbMATH DE number 2129485 (Why is no real title available?)
• Stochastic finance. A numeraire approach.
• scientific article; zbMATH DE number 703108 (Why is no real title available?)
• scientific article; zbMATH DE number 2053281 (Why is no real title available?)
• Stochastic methods in asset pricing
• scientific article; zbMATH DE number 6304887 (Why is no real title available?)
• Measure, probability, and mathematical finance. A problem-oriented approach
• Financial economics, risk and information. An introduction to methods and models.
• Stochastic finance. An introduction in discrete time
• Certainty equivalent control of discrete time Markov processes with the average reward functional

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