Stochastic methods in asset pricing

zbMATH Open1482.91003MaRDI QIDQ4607221FDOQ4607221

Authors: Andrew Lyasoff 

Publication date: 13 March 2018

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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)

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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