UID:
almahu_9948197953402882
Umfang:
1 online resource (418 pages)
ISBN:
9781118557860
,
1118557867
Serie:
ISTE
Inhalt:
Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge o.
Anmerkung:
3.5.8. The mean time of first entrance in a state of Markov chain.
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Cover; Title Page; Copyright Page; Table of Contents; Preface; Chapter 1. Probability and Random Variables; 1.1. Introductory notes; 1.2. Probability space; 1.3. Conditional probability and independence; 1.4. Random variables; 1.4.1. Discrete random variables; 1.4.2. Bernoulli random variables; 1.4.3. Binomial random variables; 1.4.4. Geometric random variables; 1.4.5. Poisson random variables; 1.4.6. Continuous random variables; 1.4.7. Exponential random variables; 1.4.8. Uniform random variables; 1.4.9. Gamma random variables; 1.4.10. Normal random variables.
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1.4.11. Lognormal random variables1.4.12. Weibull random variables; 1.5. Expectation and variance of a random variable; 1.6. Jointly distributed random variables; 1.6.1. Joint probability distribution of functions of random variables; 1.7. Moment generating functions; 1.8. Probability inequalities and limit theorems; 1.9. Multivariate normal distribution; Chapter 2. An Introduction to Financial Instruments and Derivatives; 2.1. Introduction; 2.2. Bonds and basic interest rates; 2.2.1. Simple interest rates; 2.2.2. Discretely compounded interest rates.
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2.2.3. Continuously compounded interest rate2.2.4. Money-market account; 2.2.5. Basic interest rates; 2.2.5.1. Treasury rate; 2.2.5.2. LIBOR rates; 2.2.6. Time value of money; 2.2.7. Coupon-bearing bonds and yield-to-maturity; 2.3. Forward contracts; 2.3.1. Arbitrage; 2.4. Futures contracts; 2.5. Swaps; 2.6. Options; 2.6.1. European call option; 2.6.2. European put option; 2.6.3. American call option; 2.6.4. American put option; 2.6.5. Basic problems and assumptions; 2.7. Types of market participants; 2.7.1. Hedgers; 2.7.2. Speculators; 2.7.3. Arbitrageurs.
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2.8. Arbitrage relationships between call and put options2.9. Exercises; Chapter 3. Conditional Expectation and Markov Chains; 3.1. Introduction; 3.2. Conditional expectation: the discrete case; 3.3. Applications of conditional expectations; 3.3.1. Expectation of the sum of a random number of random variables; 3.3.2. Expected value of a random number of Bernoulli trials with probability of success being a random variable; 3.3.3. Number of Bernoulli trials until there are k consecutive successes; 3.3.4. Conditional variance relationship.
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3.3.5. Variance of the sum of a random number of random variables3.4. Properties of the conditional expectation; 3.5. Markov chains; 3.5.1. Probability distribution in the states of a Markov chain; 3.5.2. Statistical inference in Markov chains; 3.5.3. The strong Markov property; 3.5.4. Classification of states of a Markov chain; 3.5.5. Periodic Markov chains; 3.5.5.1. Cyclic subclasses; 3.5.5.2. Algorithm for the cyclic subclasses; 3.5.6. Classification of states; 3.5.7. Asymptotic behavior of irreducible homogenous Markov chains.
Weitere Ausg.:
Print version: Vassiliou, P-C.G. Discrete-time Asset Pricing Models in Applied Stochastic Finance. London : Wiley, ©2013 ISBN 9781848211582
Sprache:
Englisch
Schlagwort(e):
Electronic books.
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Electronic books.
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Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118557860
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118557860
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118557860
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