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Lecture Notes
The notes cover several topics such as Measure Theory, Discrete Time Martingales, Discrete Time Option Pricing, Continuous Time, Martingales, Stochastic Integrals, Stochastic Calcu...
Lecture Notes
This is a long lecture note about Financial Stochastic. It covers several topics such as Martingale Representation, Finite Economies, Black-Scholes Models, American Options, Paymen...
PC
2008
13 years 4 months ago
2008
We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates...
JCP
2008
13 years 4 months ago
2008
In the present paper, by applying the theory of stochastic processes and interacting particle systems and models, including stopping time theory and stochastic voter model, we mode...
FS
2006
13 years 4 months ago
2006
We prove existence of stochastic financial equilibria on filtered spaces more general than the ones generated by finite-dimensional Brownian motions. These equilibria span complete...