6) More General Stochastic Processes Flashcards
(2 cards)
1
Q
What is an Ornstein-Uhlenbeck (OU) process and how is St distributed
A
2
Q
What is a Square Root Ornstein-Uhlenbeck (SROU) process and why is it useful
A
Mathematical Modelling in Finance (21 decks)
- 1) Introduction
- 2) Options
- 3) No arbitrage principle
- 4) Model of stock price movements
- 5) Basics of Stochastic calculus and Itô’s lemma
- 6) More General Stochastic Processes
- 7) The Black-Scholes analysis
- 8) Formulating the mathematical problem
- 9) Analytic solutions to the Black-Scholes equation
- 10) Solving the heat conduction and Black-Scholes equations
- 11) Similarity solutions to the Heat conduction equation
- 12) General solution to the Heat-Conduction equation initial value problem
- 13) Options on assets paying dividends
- 14) Discrete dividend payments
- 15) American Options
- 16) Perpetual options
- 17) Interest rate models and bonds
- 18) Specifying the Bond Model
- 19) Stochastic Volatility Model
- 20) Barrier options
- 21) Analytic Solutions for Barrier Options
