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zbMath1356.91091MaRDI QIDQ2960761

Stefan Reitz

Publication date: 17 February 2017

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

zbMATH Keywords

options stochastic differential equation Brownian motion stock price stochastic process stochastic calculus derivatives martingale measure arbitrage credit derivatives volatility stochastic integral Black-Scholes formula fundamental theorem of asset pricing interest rate derivatives interest rate modelling risk neutral replication portfolio

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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