Stochastic Finance: An Introduction with Market Examples

Assets, Portfolios, and Arbitrage, Discrete-Time Model. Pricing and Hedging in Discrete Time. Brownian Motion and Stochastic Calculus. The Black-Scholes PDE. Martingale Approach to Pricing and Hedging. Estimation of Volatility. Exotic Options. American Options. Change of Numéraire and Forward Measures. Forward Rate Modeling. Pricing of Interest Rate Derivatives. Credit Default. Stochastic Calculus for Jump Processes. Pricing and Hedging in Jump Models. Basic Numerical Methods. Appendix. Exercise Solutions. References. Index.