rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Stochastic financial models
  name:
    name part: Kennedy, Douglas.
    role:
      role term: creator
  type of resource: text
  genre: bibliography
  origin info:
    place:
      place term: flu
    place:
      place term: Boca Raton, FL
    publisher: Chapman & Hall/CRC
    date issued: c2010
    date issued: 2010
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: print
    extent: 257 p. : ill. ; 25 cm.
  abstract: "Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations rather than seeking the greatest generality." "Developed from the esteemed author's courses at the University of Cambridge, the text begins with the classical topics of utility and the mean-variance approach to portfolio choice. The remainder of the book deals with derivative pricing. The author fully explains the binomial model since it is central to understanding the pricing of derivatives by self-financing hedging portfolios. He then discusses the general discrete-time model. Brownian motion and the Black-Scholes model. The book concludes with a look at various interest-rate models. Concepts from measure-theoretic probability and solutions to the end-of-chapter exercises are provided in the appendices." "By exploring the important and exciting application area of mathematical finance, this text encourages readers to learn more about probability, martingales and stochastic integration. It shows how mathematical concepts, such as the Black-Scholes and Gaussian random-field models, are used in financial situations."--BOOK JACKET.
  note: Douglas Kennedy.
  note: Includes bibliographical references and index.
  subject:
    topic: Investments
    topic: Mathematical models
  subject:
    topic: Stochastic analysis
  classification: 332.632042
  related item:
    title info:
      title: Chapman & Hall/CRC financial mathematics series
  identifier: 9781420093452 (hardcover : alk. paper)
  identifier: 1420093452 (hardcover : alk. paper)
  identifier: 2009044114
  record info:
    record creation date: 091106