Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I

Index

1. adapted stochastic processes
2. admissible trading strategy
3. American options
4. appendices
5. arbitrage
6. arithmetic Brownian motion
   1. see also Bachelier model
   2. stock price with continuous dividend yield
7. arithmetic series, formulae
8. arrival time distribution, Poisson process
   1. see also stock...
   2. fundamental theories
9. attainable contingent claim
10.  
11. Bachelier model
    1. see also arithmetic Brownian motion
    2. definition and formulae
12. backward Kolmogorov equation
    1. see also diffusion; parabolic...
    2. definition
    3. multi-dimensional diffusion process
    4. one-dimensional diffusion process
    5. one-dimensional random walk
    6. two-dimensional random walk
13. Bayes' Formula
14. Bayes' rule
15. Bernoulli differential equation
16. Bernoulli distribution
17. Bessel process
18. beta function
19. binomial distribution
20. bivariate continuous random variables
    1. see also continuous...
21. bivariate discrete random variables
    1. see also discrete...
22. bivariate normal distribution
    1. see also normal distribution
    2. covariance
    3. marginal distributions
23. Black equation
24. Black model
25. Black– Scholes equation
    1. see also partial differential equations
    2. reflection principle
26. Black– Scholes model
    1. see also geometric Brownian motion
27. Bonferroni's inequality
28. Boole's inequality
29. Borel– Cantelli lemma
30. Brownian bridge process
31. Brownian motion
    1. see also arithmetic...; diffusion...; geometric...; random walks; Wiener processes
    2. definitions and formulae
32.  
33. càdlàg process
34. Cauchy– Euler equation
35. cdf see cumulative distribution function
36. central limit theorem
37. CEV see constant elasticity of ...