Stochastic analysis for finance with simulations

DOI10.1007/978-3-319-25589-7zbMath1409.91002OpenAlexW2485144656MaRDI QIDQ276302

Geon Ho Choe

Publication date: 3 May 2016

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25589-7

zbMATH Keywords

computational methodsstochastic analysisfinancial mathematics

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Uses Software

• Matlab

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