Stochastic Processes for Finance

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104 pages
Jazyk:
 English
This book is an extension of “Probability for Finance” to multi-period financial models, either in the discrete or continuous-time framework.
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O autorovi

Patrick Roger is a professor of Finance at EM Strasbourg Business School, University of Strasbourg. He mainly teaches Derivatives, Investments, Behavioral Finance and taught Financial mathematics for more than 20 years at University Paris-Dauphine. As a member of LaRGE Research Center, he wrote more t...

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This book is an extension of “Probability for Finance” to multi-period financial models, either in the discrete or continuous-time framework. It describes the most important stochastic processes used in finance in a pedagogical way, especially Markov chains, Brownian motion and martingales. It also shows how mathematical tools like filtrations, Itô’s lemma or Girsanov theorem should be understood in the framework of financial models. It also provides many illustrations coming from the financial literature.

  1. Discrete-time stochastic processes
    1. Introduction
    2. The general framework
    3. Information revelation over time
    4. Markov chains
    5. Martingales
  2. Continuous-time stochastic processes
    1. Introduction
    2. General framework
    3. The Brownian motion
  3. Stochastic integral and Itô’s lemma
    1. Introduction
    2. The stochastic integral
    3. Itô’s lemma
    4. The Girsanov theorem
    5. Stochastic differential equations
  4. Bibliography
  5. Index
Well-researched book
5. února 2018 21:35
Very nice complement to probability for finance. Sufficiently developed to help for most problems and sufficiently simple to be understandable to students without a strong background in maths
20. května 2013 15:23
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