Analytical Finance: Volume I

DOI10.1007/978-3-319-34027-2zbMath1382.91001OpenAlexW4230399365MaRDI QIDQ5269734

Jan R. M. Röman

Publication date: 27 June 2017

Full work available at URL: https://doi.org/10.1007/978-3-319-34027-2

zbMATH Keywords

stochastic integrationexotic optionsItô lemmacontinuous-time financial modelsanalytical financeBlack-Scholes diffusion modeldiscrete-time financial modelspricing using deflatorsstrategies with options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Uses Software

• VBA

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