Introductory Stochastic Analysis for Finance and Insurance

DOI10.1002/0471793213zbMath1094.60047OpenAlexW2483867149MaRDI QIDQ5470450

X. Sheldon Lin

Publication date: 30 May 2006

Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/0471793213

zbMATH Keywords

random walksBrownian motionItô integralmartingalesstock priceoption pricingconditional expectationconditional probabilityFeynman-Kac formulaPoisson processmathematical financeGirsanov theoremprobability theorystopping timesreflection principleinterest rate modelsinformation structurediscrete-time stochastic processeschange of probability measuresstochastic analysis techniquesbarrier hitting time distributions

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91Gxx)

Related Items (4)

Pricing equity-indexed annuities under stochastic interest rates using copulas ⋮ Risk measures and behaviors for bonds under stochastic interest rate models ⋮ Valuation of life insurance products under stochastic interest rates ⋮ Unnamed Item

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