Advanced Series on Statistical Science and Applied Probability - Vol. 3
ESSENTIALS OF STOCHASTIC FINANCE
Facts, Models, Theory
by Albert N Shiryaev (Steklov Mathematical Institute & Moscow State University)
This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.
Contents:
- Facts. Models:
- Main Concepts, Structures, and
Instruments. Aims and Problems of Financial Theory and Financial Engineering
- Stochastic Models. Discrete Time
- Stochastic Models. Continuous Time
- Statistical Analysis of Financial Data
- Theory:
- Theory of Arbitrage in Stochastic Financial Models. Discrete Time
- Theory of Pricing in Stochastic Financial Models. Discrete Time
- Theory of Arbitrage in Stochastic Financial Models. Continuous Time
- Theory of Pricing in Stochastic Financial Models. Continuous Time
Readership: Undergraduates and researchers in probability and statistics;
applied, pure and financial mathematics; economics; chaos.
"This is a remarkable text, containing a huge amount of interesting material on modern stochastic finance. Especially the young (novice) researcher in the field will find it a very useful basis of results essential for further research. The set of references is impressive and the level of writing is clear and pedagogically sound ... a much more in-depth treatment of a very wide and encompassing range of stochastic models is given. In summary: a text to be recommended warmly."
| International Statistical Institute |
"It is a very comprehensive survey of the results from the theories of stochastic processes, time series and related statistical procedures relevant to finance applications. It also develops classical pricing models and results. It is written in a very lively style, in which the author effortlessly jumps from abstract mathematical frameworks to interesting historical remarks."
"The author's choice of material is outstanding and well worth the time and effort it will require to get through ... For anyone interested or working in the field and who have a good mathematical background, this book will be a valuable resource and a rich and stimulating source of intellectual pleasure."
| Journal of Applied Mathematics and Stochastic Analysis |
"... as an encyclopedia of results and methods for financial analysis it is very impressive and certainly very useful as well."
| 852pp |
Pub. date: Jan 1999 |
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