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

martingale theorysemimartingale calculusstochastic financegeneral theory of processes

Mathematics Subject Classification ID

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

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Cited in

(12)

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

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