Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction

319 Pages Posted: 10 Jun 2018

See all articles by Laura Ballotta

Laura Ballotta

Sir John Cass Business School - City, University of London

Gianluca Fusai

Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa; Sir John Cass Business School - City, University of London

Date Written: May 23, 2018

Abstract

The idea of this document is to provide the reader with an intuitive, yet rigorous and comprehensive introduction to the main tools in stochastic analysis required in Finance to understand the modern modelling, pricing and hedging techniques. The most important models (Brownian motion, arithmetic and geometric Brownian motion, mean-reverting models, stochastic and jump processes) are considered and their properties illustrated with the help of Matlab codes and videos.

We would like to emphasize that this document is very much work in progress and we would like to encourage readers to get in touch with us with feedback, comments, suggestions for additions and, of course, corrections of typos. All of these will be gratefully acknowledged in the future releases of this document.

Keywords: Stochastic Calculus, Heston model, Jump models, Brownian motion, mathematical finance

JEL Classification: C1, G

Suggested Citation

Ballotta, Laura and Fusai, Gianluca, Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction (May 23, 2018). Available at SSRN: https://ssrn.com/abstract=3183712 or http://dx.doi.org/10.2139/ssrn.3183712

Laura Ballotta

Sir John Cass Business School - City, University of London ( email )

Faculty of Finance
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

HOME PAGE: http://www.city.ac.uk/people/academics/laura-ballotta

Gianluca Fusai (Contact Author)

Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa ( email )

Via Perrone, 18
Novara, 28100
Italy

HOME PAGE: http://https://upobook.uniupo.it/gianluca.fusai

Sir John Cass Business School - City, University of London ( email )

106 Bunhill Row
London, EC2Y 8HB
Great Britain

HOME PAGE: http:// www.cass.city.ac.uk/experts/G.Fusai

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