scientific article

zbMath1391.91002MaRDI QIDQ2825532

Vigirdas Mackevičius

Publication date: 13 October 2016

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Brownian motionstochastic differential equationsmartingaleHeath-Jarrow-Morton modelGirsanov theoremCox-Ingersoll-Ross modelItô's formulaBlack-Scholes formulastochastic modelfinancial mathematicsrisk-neutral probabilitiesoption GreeksAmerican and exotic optionsVašiček model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (1)

Conditioning diffusions with respect to incomplete observations

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