Stochastic Processes and Financial Markets

J.C. Parikh

152 pages, parution le 06/01/2004

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Résumé

Aimed at providing an introduction to fundamental concepts and mathematical foundations essential for studying dynamics of financial markets, this volume focuses on stochastic processes and the manner in which they provide the basic framework for modeling the markets.

The overall objective is to make the presentation concrete and illustrate successes and limitations of models. In the process, readers are also made aware of a number of advances in the field.

Key Features

Mathematical in nature, but is not heavy on proofs
Numerous examples
Simulations and analysis of real data from different financial markets

L'auteur - J.C. Parikh

Physical Research Laboratory
Ahmedabad, India and Visiting Faculty Indian Institute of Management
Ahmedabad, India

Sommaire

Introduction
Probability Theory
Random Variables and Probability Theory
Derivatives and "No Arbitrage" Assumption

Distribution Law for a Sum of Independent Random Variables
Stochastic (or Random) Processes
Two Specific Stochastic Processes
Stochastic Calculus
The Black Scholes Model
Statistical Analysis of the Data
Going Beyond the Black-Scholes Model

Appendix A: Modelling Deterministic Dynamics - Artiecial Neural Network (ANN) Approach
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Alpha
Auteur(s)	J.C. Parikh
Parution	06/01/2004
Nb. de pages	152
Format	16 x 25
Couverture	Relié
Poids	375g
Intérieur	Noir et Blanc
EAN13	9781842651582
ISBN13	978-1-84265-158-2