Stochastic financial models

Abstract

Portfolio Choice Introduction Utility Mean-variance analysis The Binomial Model One-period model Multi-period model A General Discrete-Time Model One-period model Multi-period model Brownian Motion Introduction Hitting-time distributions Girsanov's theorem Brownian motion as a limit Stochastic calculus The Black-Scholes Model Introduction The Black-Scholes formula Hedging and the Black-Scholes equation Path-dependent claims Dividend-paying assets Interest-Rate Models Introduction Survey of interest-rate models Gaussian random-field model Appendix A: Mathematical Preliminaries Appendix B: Solutions to the Exercises Further Reading References Index Exercises appear at the end of each chapter.