Mathematical Finance

Mathematical Finance by Ernst Eberlein, Jan Kallsen.

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation...

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Bibliographic Details
Main Authors: Eberlein, Ernst (Author), Kallsen, Jan (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
Edition:1st ed. 2019.
Series:Springer Finance,
Springer eBook Collection.
Subjects:
Economics, Mathematical .
Probabilities.
Financial engineering.
Risk management.
Finance—Mathematics.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • Part I
  • Stochastic Calculus
  • Overview
  • Discrete Stochastic Calculus
  • Lévy Processes
  • Stochastic Integration
  • Semimartingale Characteristics
  • Markov Processes
  • Affine and Polynomial Processes
  • Optimal Control
  • Mathematical Finance
  • Overview and Notation
  • Equity models
  • Markets, Strategies, Arbitrage
  • Optimal Investment
  • Arbitrage-Based Valuation and Hedging of Derivatives
  • Mean-Variance Hedging
  • Utility-Based Valuation and Hedging of Derivatives
  • Interest Rate Models.

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