Mathematical Finance: Stochastic Models

by Jacques Janssen, Raimondo Manca, Ernesto Volpe

This succinct overview examines stochastic processes and Itô’s formula, the main tool of stochastic finance. Classical fields—such as the evaluation of equity options, the basis of quantitative risk management, and interest rate stochastic models and how they are applied to bond options—are also discussed along with the increasingly important areas of Markov and semi-Markov risk and evaluation models.

352 pages, Hardcover

First published January 1, 2008