Abstract
Chapter 15 deals with formulas of stochastic calculus: 15.1. Wiener Process in Finance, 15.2. Poisson Process in Finance, 15.3. Ito Stochastic Integral, 15.4. Stochastic Differential Equations SDE, 15.5. Ito’s Lemma, 15.6. Girsanov Theorem on Equivalent Martingale Probability, 15.7. Theorem on Martingale Representation, 15.8. Derivatives Pricing by Means of Equivalent Martingale Probabilities, 15.9. Derivatives Pricing by Means of Partial Differential Equations PDE, 15.10. Term Structure Modeling.
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