Mathematical Finance: Introduction to continuous time financial market models
by Christian-Oliver Ewald
Publisher: Social Science Electronic Publishing 2007
Number of pages: 129
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.
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- World Bank Publications
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Stochastic Portfolio Theory is a framework in which the normative assumptions from classical financial mathematics are not made, but in which one takes a descriptive approach to studying properties of markets that follow from empirical observations.
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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).