This book presents a short introduction to continuous-time
financial models. An overview of the basics of stochastic analysis
precedes a focus on the Black-Scholes and interest rate models.
Other topics covered include self-financing strategies, option
pricing, exotic options and risk-neutral probabilities. Vasicek,
Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models
are also explored. The author presents practitioners with a basic
introduction, with more rigorous information provided for
mathematicians. The reader is assumed to be familiar with the
basics of probability theory. Some basic knowledge of stochastic
integration and differential equations theory is preferable,
although all preliminary information is given in the first part of
the book. Some relatively simple theoretical exercises are also
provided.
General
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