STOCHASTIC FINANCIAL MODELS (Paperback)

Portfolio ChoiceIntroductionUtilityMean-variance analysis The Binomial ModelOne-period modelMulti-period model A General Discrete-Time ModelOne-period modelMulti-period model Brownian MotionIntroductionHitting-time distributionsGirsanov’s theoremBrownian motion as a limitStochastic calculus The Black?Scholes ModelIntroductionThe Black?Scholes formulaHedging and the Black?Scholes equationPath-dependent claimsDividend-paying assets Interest-Rate ModelsIntroductionSurvey of interest-rate modelsGaussian random-field model Appendix A: Mathematical PreliminariesAppendix B: Solutions to the Exercises Further Reading References Index Exercises appear at the end of each chapter.