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Archive for March 17th, 2010

Stochastic calculus for finance

by admin @ Wednesday, March 17th, 2010. Tags: Black Scholes, discrete time model, financial derivatives, Girsanov Theorem, martingale, martingale representation, Martingale Representation Theorem, Optional Sampling Theorem, sampling theorem, stochastic calculus, stochastic integral, stochastic integration
Filed under Mathematics

Stochastic Calculus for Finance Contents : # Basic examples of financial derivatives: Examples of financial instruments, a first example of `arbitrage pricing’. # Discrete time models I: Single period models, pricing a European option, characterising no arbitrage, risk neutral probabilities. # Discrete time models II: Multiperiod binary models, discrete parameter martingales, risk-neutral pricing, Cox-Ross-Rubinstein. # [...]

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