Mathematical Finance: Introduction to continuous time financial market models
by Christian-Oliver Ewald
Publisher: Social Science Electronic Publishing 2007
Number of pages: 129
Description:
These are the lecture notes for a course in continuous time finance. Contents: stochastic processes in continuous time, financial market theory, stochastic integration, explicit financial market models, and portfolio optimization.
Download or read it online for free here:
Download link
(640KB, PDF)
Similar books
An Introduction to Business Mathematicsby Henk van Elst - arXiv
These lecture notes provide a self-contained introduction to the mathematical methods required in a Bachelor degree programme in Business, Economics, or Management. A special focus is set on applications in quantitative economical modelling.
(12789 views)
Mathematical Models in Portfolio Analysisby Farida Kachapova - Bookboon
This book explains portfolio modelling in financial mathematics as a consistent mathematical theory with all steps justified. Topics include mean-variance portfolio analysis and capital market theory. The book contains many examples with solutions.
(13801 views)
Phynanceby Zura Kakushadze - arXiv
These are the lecture notes for an advanced Ph.D. level course, primarily focused on an introduction to stochastic calculus and derivative pricing with various stochastic computations recast in the language of path integral, which is used in physics.
(12998 views)
Stochastic Processes for Financeby Patrick Roger - BookBoon
Topics: Discrete-time stochastic processes (Markov chains , Martingales); Continuous-time stochastic processes (General framework, Brownian motion); Stochastic integral and Ito's lemma (Girsanov theorem, Stochastic differential equations).
(14796 views)