Stochastic methods in asset pricing

MaRDI QIDQ4607221zbMATH OpenFDO

Authors Andrew Lyasoff

Publication date 13 March 2018

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Stochastic calculus for finance. I: The binomial asset pricing model.
• scientific article; zbMATH DE number 6304887
• Introduction to stochastic finance
• Stochastic calculus for finance. II: Continuous-time models.
• Asset pricing theory.

Cited in

(6)

• Average-tempered stable subordinators with applications
• A stochastic approach to asset selection process
• Modelling joint behaviour of asset prices using stochastic correlation
• Set-valued stochastic integrals for convoluted Lévy processes
• Stochastic calculus for assets with non-Gaussian price fluctuations
• Methods of PC realization of the stochastic models of stock and bond values

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