Stochastic Processes with Applications to Finance

by Masaaki Kijima

Overview

Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools

Product Details

ISBN-13:	9781482211535
Publisher:	CRC Press
Publication date:	04/19/2016
Series:	Chapman and Hall/CRC Financial Mathematics Series
Sold by:	Barnes & Noble
Format:	eBook
Pages:	343
File size:	3 MB

About the Author

M. Kijima (Author)

Table of Contents

Elementary Calculus: Towards Ito's Formula. Elements in Probability. Useful Distributions in Finance. Derivative Securities. Change of Measures and the Pricing of Insurance Products. A Discrete-Time Model for Securities Market. Random Walks. The Binomial Model. A Discrete-Time Model for Defaultable Securities. Markov Chains. Monte Carlo Simulation. From Discrete to Continuous: Towards the Black-Scholes. Basic Stochastic Processes in Continuous Time. A Continuous-Time Model for Securities Market. Term-Structure Models and Interest-Rate Derivatives. A Continuous-Time Model for Defaultable Securities. References. Index.

Editorial Reviews

With an emphasis on applications to finance, including the pricing of corporate bonds and credit derivatives, Kijima (economics, Kyoto U., Japan) explains the idea of stochastic processes as based on simple class of discrete processes. After deriving Ito's formula from Taylor's expansion, the theory of basic probability and probability distributions are explored. A general discrete-time model for the securities market is introduced in order to provide a basis for the understanding of the theory of random walks. Markov chains and Monte Carlo simulations are explored with an emphasis on financial engineering. Final chapters deal with Brownian motions, Poisson processes in continuous time, and the development of continuous-time securities market models. Annotation c. Book News, Inc., Portland, OR