PATHWISE ESTIMATION AND INFERENCE FOR DIFFUSION MARKET MODELS

by YEE, HIN LIN. DOKUCHAEV, NIKOLAI

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Title Statements

Full title :PATHWISE ESTIMATION AND INFERENCE FOR DIFFUSION MARKET MODELS

Edition Statements

Publication Date:2019.

Publication Statements

Publisher(s):CRC Press
Place of Publication:Place of publication not identified
Language:eng
Publication Date:2019.

The Physical Object

Description:1 online resource

Edition Identifiers

ISBN:9780429948855, 0429948859, 9780429488429, 0429488424, 9780429948848, 0429948840, 9780429948862, 0429948867
DOI:10.1201/9780429488429
oclc:on1090977731
LC Classification:HG4551
Dewey Decimal:332.642

1.3.3 Some explicit solutions for Ito equations1.3.4 Diffusion Markov processes and related parabolic equations; 1.3.5 Martingale representation theorem; 1.3.6 Change of measure and Girsanov theorem; 2: Some background on diffusion market models; 2.1 Continuous time model for stock price; 2.2 Continuous time bond-stock market model; 2.3 Discounted wealth and stock prices; 2.4 Risk-neutral measure; 2.5 Replicating strategies; 2.6 Arbitrage possibilities and the arbitrage-free market; 2.7 The case of a complete market; 2.8 Completeness of the Black-Scholes model; 2.9 Option pricing

2.9.1 Options and their prices2.9.2 Option pricing for a complete market; 2.9.3 Black-Scholes formula; 2.10 Pricing for an incomplete market; 2.11 A multi-stock market model; 3: Some special market models; 3.1 Mean-reverting market model; 3.1.1 Basic properties of a mean-reverting model; 3.1.2 Absence of arbitrage and the Novikov condition; 3.1.3 Proofs; 3.2 A market model with delay in coefficients; 3.2.1 Existence, regularity, and non-arbitrage properties; 3.2.2 Time discretization and restrictions on growth; 3.3 A market model with stochastic numéraire; 3.3.1 Model setting

4.2.2 Monte Carlo simulatio…

Subjects

Bourse -- Modèles mathématiques Business & Economics -- Finance Capital market -- Mathematical models Finance -- mathematical models Finances -- Modèles mathématiques Marché financier -- Modèles mathématiqu… MATHEMATICS -- General MATHEMATICS -- Probability & Statistics Processus stochastiques Stochastic Processes Stock exchanges -- Mathematical models