Mathematical Finance. Theory Review and Exercises

Description

Preface to the Second Edition Preface to the First Edition Contents 1 Short Review of Probability and of Stochastic Processes 1.1 Review of Theory 1.2 Solved Exercises 1.3 Proposed Exercises 2 Portfolio Optimization in Discrete-Time Models 2.1 Review of Theory 2.2 Solved Exercises 2.3 Proposed Exercises 3 Binomial Model for Option Pricing 3.1 Review of Theory 3.2 Solved Exercises 3.3 Proposed Exercises 4 Absence of Arbitrage and Completeness of Market Models 4.1 Review of Theory 4.2 Solved Exercises 4.3 Proposed Exercises 5 Itô's Formula and Stochastic Differential Equations 5.1 Review of Theory 5.2 Solved Exercises 5.3 Proposed Exercises 6 Partial Differential Equations in Finance 6.1 Review of Theory 6.2 Solved Exercises 6.3 Proposed Exercises 7 Black-Scholes Model for Option Pricing and Hedging Strategies 7.1 Review of Theory 7.2 Solved Exercises 7.3 Proposed Exercises 8 American Options 8.1 Review of Theory 8.2 Solved Exercises 8.3 Proposed Exercises 9 Exotic Options 9.1 Review of Theory 9.2 Solved Exercises 9.3 Proposed Exercises 10 Interest Rate Models 10.1 Review of Theory 10.2 Solved Exercises 10.3 Proposed Exercises 11 Pricing Models Beyond Black-Scholes 11.1 Review of Theory 11.2 Solved Exercises 11.3 Proposed Exercises 12 Risk Measures: Value at Risk and Beyond 12.1 Review of Theory 12.2 Solved Exercises 12.3 Proposed Exercises References Index