Problems And Solutions in Quantitative Finance

By Eric Chin, Dian Nel, Sverrir Ólafsson
Detailed guidance on the mathematics behind equity derivatives

This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they play a decisive role in the modeling of financial markets and as a basis for modern time series econometrics. Mathematical theory is applied to solve stochastic differential equations and to derive limiting results for statistical inference on nonstationary processes.

With an emphasis on models and techniques, this textbook introduces many of the fundamental concepts of stochastic modeling that are now a vital component of almost every scientific investigation. These models form the basis of well-known parametric lifetime distributions such as exponential, Weibull, and gamma distributions, as well as change-point and mixture models.