Author: Holger Kraft
Type: Study Notes, Lecture Notes
Type: Advanced Undregraduate(Math), MSc(Math. Fin), Ph.D.(Fin)
The lecture notes "Financial Mathematics I, Stochastic Calculus, Option Pricing, Portfolio Optimization" cover the topics of discrete-time pricing, stochastic calculus and continuous-time pricing and portfolio optimization. In chapter 2, both single-period and multi-period models are considered. The reader can find information about Arrow-Debreu securities and risk neutral measures. An introduction to stochastic calculus is provided in chapter 3. Stochastic processes, martingales, Itō integrals and Itō's lemma are discussed. In chapter 4, the topic of option pricing in continuous-time is discussed. The topic of chapter 5 is the continuous-time portfolio problem, and both the martingale approach and the stochastic optimal control approach are discussed.
Type: Study Notes, Lecture Notes
Type: Advanced Undregraduate(Math), MSc(Math. Fin), Ph.D.(Fin)
The lecture notes "Financial Mathematics I, Stochastic Calculus, Option Pricing, Portfolio Optimization" cover the topics of discrete-time pricing, stochastic calculus and continuous-time pricing and portfolio optimization. In chapter 2, both single-period and multi-period models are considered. The reader can find information about Arrow-Debreu securities and risk neutral measures. An introduction to stochastic calculus is provided in chapter 3. Stochastic processes, martingales, Itō integrals and Itō's lemma are discussed. In chapter 4, the topic of option pricing in continuous-time is discussed. The topic of chapter 5 is the continuous-time portfolio problem, and both the martingale approach and the stochastic optimal control approach are discussed.
Download Holger Kraft's "Financial Mathematics I, Stochastic Calculus, Option Pricing, Portfolio Optimization" using the link that follows
Financial Mathematics I, Stochastic Calculus, Option Pricing, Portfolio Optimization
Dr. Holger Kraft is professor (UBS Endowed Chair of Asset Pricing) at the University of Kaiserslautern.
Webpage:
http://www.finance.uni-frankfurt.de/kraft/index.php?lg=1&men=2&case=prof
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