Abstract
In this chapter, we present briefly the main concepts in mathematical finance as well as some straightforward applications of stochastic calculus for continuous-path processes. We study in particular the general principle for valuation of contingent claims, the Feynman-Kac approach, the Ornstein-Uhlenbeck and Vasicek processes, and, finally, the pricing of European options.
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© 2009 Springer-Verlag London
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Jeanblanc, M., Yor, M., Chesney, M. (2009). Basic Concepts and Examples in Finance. In: Mathematical Methods for Financial Markets. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-84628-737-4_2
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DOI: https://doi.org/10.1007/978-1-84628-737-4_2
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Publisher Name: Springer, London
Print ISBN: 978-1-84882-819-3
Online ISBN: 978-1-84628-737-4
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