Problems and solutions in mathematical finance. Volume I. Stochastic calculus

DOI10.1002/9781118845141zbMATH Open1300.91001OpenAlexW2476550060MaRDI QIDQ5398166FDOQ5398166

Authors: Eric B. Chin, Dian Nel, Sverrir Olafsson 

Publication date: 26 February 2014

Full work available at URL: https://doi.org/10.1002/9781118845141

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91Gxx) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic analysis (60Hxx)

Cited In (4)

• Financial Mathematics
• From Stochastic Calculus to Mathematical Finance
• Pricing of Quanto power options and related exotic options
• Positive invertibility of matrices and exponential stability of linear stochastic systems with delay

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