Introduces Stochastic Processes in Mathematical Finance

This monograph gives an overview of current methods for solving to stochastic differencial equations both analytical and numerical and considers several applications of mathematical finance models in the context of derivative pricing. In particular, credit risk models are incorporated into the pricing of derivative contracts such as CDS with counterparty default risk etc. Also, monograph introduces contingent claims theory and summarizes some important applications such as Black-Sholes formulae computed for options on shares and futures, Chapmen-Kolmogorov equation, Heath-Jarrow-Morton methodology for interest-rate modeling.

Autorentext

As. Prof., Dr. Oleg Kritski is a leading researcher at the Department of Higher Mathematics and Mathematical Physics at Tomsk Polytechnic University. The fields of his interests are as follows: stochastic processes, SDE, Black-Scholes equation, options and futures pricing, financial risk, risk aversion, mathematical finance, portfolio management.