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Introduction to stochastic calculus for finance : a new didactic approach

Sondermann, Dieter - 2006 - 1. ed.

Persistent link: https://www.econbiz.de/10003328645

Modellierung derivater Finanzinstrumente : Theorie und Implementierung

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Martingale approach in pricing and hedging European options under regime-switching

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function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov … markets ; martingale measure ; generalized self-financing strategy ; attainability ; self-financing in mean …

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Introduction to Stochastic Calculus for Finance : A New Didactic Approach

Sondermann, Dieter - 2006

Useful for mathematicians interested in the methods of modern mathematical finance without prior knowledge of advanced stochastic analysis, this book contains lecture notes which start with an elementary approach to stochastic calculus due to Follmer, who showed that one can develop Ito's...