ENGLISH

Financial modeling: a backward stochastic differential equations perspective

By Stéphane , Crepey

Book information

Publisher
Springer
Year
2013
ISBN
9783642371127, 9783642371134, 3642371124
Language
english
Format
PDF
Filesize
5 MB (5150376 bytes)
Series
Springer finance
Edition
1st ed
Pages
459\463
Time added
2020-07-26 19:24:52
Business mathematics;Ecuaciones diferenciales esto

Description

Part I: An Introductory Course in Stochastic Processes.- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes.- 3.Elements of Stochastic Analysis.- Part II: Pricing Equations.- 4.Martingale Modeling.- 5.Benchmark Models.- Part III: Numerical Solutions.- 6.Monte Carlo Methods.- 7.Tree Methods.- 8.Finite Differences.- 9.Callibration Methods.- Part IV: Applications.- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups.- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups.- Part V: Jump-Diffusion Setup with Regime Switching (**).- 12.Backward Stochastic Differential Equations.- 13.Analytic Approach.- 14.Extensions.- Part VI: Appendix.- A.Technical Proofs (**).- B.Exercises.- C.Corrected Problem Sets.

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