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Book synopsis

These lecture notes are based on a graduate course given for several years at Vilnius University as part of the master program Financial and Actuarial Mathematics. They are intended to give a short introduction to continuous-time financial models including Black--Scholes and interest rate models. Some basic knowledge of stochastic integration and differential equations theory is preferable, although, formally, all the preliminary information is given in part 1 of the lecture notes. About continuous-time stochastic models of financial mathematicsBlack-Sholes model and interest rate modelsRequiring a minimum knowledge of stochastic integration and stochastic differential equations

Book details

Book category Books in English Mathematics & science Mathematics Optimization

• Full title: Stochastic Models of Financial Mathematics
• Author: Vigirdas Mackevicius
• Language: English
• Binding: Hardback
• Number of pages: 130
• EAN: 9781785481987
• ISBN: 1785481983
• ID: 14644302
• Publisher: Iste Press - Elsevier
• Weight: 374 g
• Dimensions: 159 × 238 × 15 mm
• Date of publishing: 12. October 2016

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