Stochastic models of financial mathematics

zbMATH Open1391.91002MaRDI QIDQ2825532FDOQ2825532

Authors: Vigirdas Mackevičius 

Publication date: 13 October 2016

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zbMATH Keywords

martingaleBrownian motionfinancial mathematicsstochastic differential equationsGirsanov theoremBlack-Scholes formulastochastic modelHeath-Jarrow-Morton modelCox-Ingersoll-Ross modelrisk-neutral probabilitiesoption GreeksAmerican and exotic optionsItô's formulaVašiček model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) 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)

Cited In (15)

• Title not available (Why is that?)
• Stochastic models of financial mathematics
• Martingale methods in financial modelling.
• Title not available (Why is that?)
• Numerical treatment of stochastic models used in statistical systems and financial markets
• From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 -- June 9, 2017
• Stochastic differential equations in finance
• Stochastic modeling in economics and finance.
• Stochastic modelling in finance
• Mathematical Finance
• Stochastic methods in finance. II
• An alternative approach to stochastic calculus for economic and financial models
• Conditioning diffusions with respect to incomplete observations
• Stochastic methods in economics and finance
• An enhanced applications of brownian motion to mathematical finance in stochastic modeling

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