Introductory Stochastic Analysis for Finance and Insurance (Q5470450)
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scientific article; zbMATH DE number 5029222
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Introductory Stochastic Analysis for Finance and Insurance |
scientific article; zbMATH DE number 5029222 |
Statements
Introductory Stochastic Analysis for Finance and Insurance (English)
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30 May 2006
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stochastic analysis techniques
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mathematical finance
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probability theory
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information structure
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conditional probability
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conditional expectation
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discrete-time stochastic processes
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random walks
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change of probability measures
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martingales
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stopping times
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stock price
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option pricing
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interest rate models
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Brownian motion
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reflection principle
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barrier hitting time distributions
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Poisson process
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Itô integral
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Feynman-Kac formula
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Girsanov theorem
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