{"product_id":"problems-and-solutions-in-mathematical-finance-volume-1-9781119965831","title":"Problems and Solutions in Mathematical Finance","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eMathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003ePrologue xi\u003c\/p\u003e \u003cp\u003eAbout the Authors xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 General Probability Theory 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction 1\u003c\/p\u003e \u003cp\u003e1.2 Problems and Solutions 4\u003c\/p\u003e \u003cp\u003e1.2.1 Probability Spaces 4\u003c\/p\u003e \u003cp\u003e1.2.2 Discrete and Continuous Random Variables 11\u003c\/p\u003e \u003cp\u003e1.2.3 Properties of Expectations 41\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Wiener Process 51\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 51\u003c\/p\u003e \u003cp\u003e2.2 Problems and Solutions 55\u003c\/p\u003e \u003cp\u003e2.2.1 Basic Properties 55\u003c\/p\u003e \u003cp\u003e2.2.2 Markov Property 68\u003c\/p\u003e \u003cp\u003e2.2.3 Martingale Property 71\u003c\/p\u003e \u003cp\u003e2.2.4 First Passage Time 76\u003c\/p\u003e \u003cp\u003e2.2.5 Reflection Principle 84\u003c\/p\u003e \u003cp\u003e2.2.6 Quadratic Variation 89\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Stochastic Differential Equations 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 95\u003c\/p\u003e \u003cp\u003e3.2 Problems and Solutions 102\u003c\/p\u003e \u003cp\u003e3.2.1 Itō Calculus 102\u003c\/p\u003e \u003cp\u003e3.2.2 One-Dimensional Diffusion Process 123\u003c\/p\u003e \u003cp\u003e3.2.3 Multi-Dimensional Diffusion Process 155\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Change of Measure 185\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 185\u003c\/p\u003e \u003cp\u003e4.2 Problems and Solutions 192\u003c\/p\u003e \u003cp\u003e4.2.1 Martingale Representation Theorem 192\u003c\/p\u003e \u003cp\u003e4.2.2 Girsanov’s Theorem 194\u003c\/p\u003e \u003cp\u003e4.2.3 Risk-Neutral Measure 221\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Poisson Process 243\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 243\u003c\/p\u003e \u003cp\u003e5.2 Problems and Solutions 251\u003c\/p\u003e \u003cp\u003e5.2.1 Properties of Poisson Process 251\u003c\/p\u003e \u003cp\u003e5.2.2 Jump Diffusion Process 281\u003c\/p\u003e \u003cp\u003e5.2.3 Girsanov’s Theorem for Jump Processes 298\u003c\/p\u003e \u003cp\u003e5.2.4 Risk-Neutral Measure for Jump Processes 322\u003c\/p\u003e \u003cp\u003eAppendix A Mathematics Formulae 331\u003c\/p\u003e \u003cp\u003eAppendix B Probability Theory Formulae 341\u003c\/p\u003e \u003cp\u003eAppendix C Differential Equations Formulae 357\u003c\/p\u003e \u003cp\u003eBibliography 365\u003c\/p\u003e \u003cp\u003eNotation 369\u003c\/p\u003e \u003cp\u003eIndex 373\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49407195119959,"sku":"9781119965831","price":39.9,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119965831.jpg?v=1730498513","url":"https:\/\/bookcurl.com\/products\/problems-and-solutions-in-mathematical-finance-volume-1-9781119965831","provider":"Book Curl","version":"1.0","type":"link"}