Book contents
- Frontmatter
- Contents
- Introduction and Preface
- 1 Probability
- 2 Normal Random Variables
- 3 Geometric Brownian Motion
- 4 Interest Rates and Present Value Analysis
- 5 Pricing Contracts via Arbitrage
- 6 The Arbitrage Theorem
- 7 The Black–Scholes Formula
- 8 Additional Results on Options
- 9 Valuing by Expected Utility
- 10 Optimization Models
- 11 Exotic Options
- 12 Beyond Geometric Brownian Motion Models
- 13 Autogressive Models and Mean Reversion
- Index
13 - Autogressive Models and Mean Reversion
Published online by Cambridge University Press: 05 June 2012
- Frontmatter
- Contents
- Introduction and Preface
- 1 Probability
- 2 Normal Random Variables
- 3 Geometric Brownian Motion
- 4 Interest Rates and Present Value Analysis
- 5 Pricing Contracts via Arbitrage
- 6 The Arbitrage Theorem
- 7 The Black–Scholes Formula
- 8 Additional Results on Options
- 9 Valuing by Expected Utility
- 10 Optimization Models
- 11 Exotic Options
- 12 Beyond Geometric Brownian Motion Models
- 13 Autogressive Models and Mean Reversion
- Index
Summary
- Type
- Chapter
- Information
- An Elementary Introduction to Mathematical FinanceOptions and other Topics, pp. 233 - 250Publisher: Cambridge University PressPrint publication year: 2002