Author: Christian-Oliver Ewald
Type: Study Notes, Lecture Notes, e-book
Level: Advanced MBA, MSc(Math. Fin, Fin) , Ph.D.(Fin)
These lecture notes by Christian-Oliver Ewald are a short introduction to mathematical finance. MBA students and non-math major graduates will benefit from these notes. Chapter 1 deals with stochastic processes in continuous time. In chapter 2 the reader can find many topics about financial market theory such as arbitrage, martingale measures, hedging, completeness and pricing of options. Stochastic integration is covered in chapter 3. You can read about stochastic integrals, quadratic variation, Itō's lemma and Girsanov theorem. In chapter 4 the author covers the topics of the generalized Black Scholes model, the stochastic volatility model and the Poisoon market model. Finally, chapter 5 deals with portfolio optimization in continuous time both using the martingale and the stochastic control approaches.
Type: Study Notes, Lecture Notes, e-book
Level: Advanced MBA, MSc(Math. Fin, Fin) , Ph.D.(Fin)
These lecture notes by Christian-Oliver Ewald are a short introduction to mathematical finance. MBA students and non-math major graduates will benefit from these notes. Chapter 1 deals with stochastic processes in continuous time. In chapter 2 the reader can find many topics about financial market theory such as arbitrage, martingale measures, hedging, completeness and pricing of options. Stochastic integration is covered in chapter 3. You can read about stochastic integrals, quadratic variation, Itō's lemma and Girsanov theorem. In chapter 4 the author covers the topics of the generalized Black Scholes model, the stochastic volatility model and the Poisoon market model. Finally, chapter 5 deals with portfolio optimization in continuous time both using the martingale and the stochastic control approaches.
Download Christian-Oliver Ewald's "Mathematical Finance, Introduction to Continuous Time Financial Market Models" using the link below
Mathematical Finance, Introduction to Continuous Time Financial Market Models
Dr. Christian-Oliver Ewald is associate professor at the School of Mathematics and Statistics, University of Sydney.
Webpage:
http://www.maths.usyd.edu.au/u/ewald/
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