Mon premier blog

Stochastic Calculus for Finance II: Continuous-Time Models by Steven E. Shreve

Stochastic Calculus for Finance II: Continuous-Time Models Steven E. Shreve ebook
Publisher: Springer
ISBN: 0387401016, 9780387401010
Format: djvu
Page: 348

Stochastic Calculus for Finance II : Continuous-Time Models (Springer Finance) Steven E. Recently, the problem of optimal investment for an insurer has attracted a lot of attention, due to the fact that the insurer is allowed to invest in financial markets in practice. Thus the compound Poisson process represents the cumulative amount of claims in the time interval . "Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)" Overview. The book presents an in-depth study of arbitrary one - dimensional continuous strong Markov processes using methods of stochastic calculus . In Hipp and Plum [2], the classical Cramér-Lundberg model is adopted for the risk reserve and the insurer can invest in a risky asset to minimize the ruin probability. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model Steven E. "A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. WilmottShreve ;Stochastic Calculus for Finance II:Continuous Time Model ; Hunt, Philip / Kennedy, Joanne ; Financial Derivatives in Theory and Practice ; Very good but expensive. Stochastic Differential Equations, An Introduction with Applications, 5th edition. Stochastic Calculus for Finance II: Continuous-Time Models.