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

DOI10.1002/9781118845141MaRDI QIDQ5398166zbMATH OpenOpenAlexFDO

Authors Eric B. Chin, Dian Nel, Sverrir Olafsson

Publication date 26 February 2014

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

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)

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Cited in

(4)

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

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