Introduction to Stochastic Calculus Applied to Finance, Second Edition

Introduction to Stochastic Calculus Applied to Finance, Second Edition

4.11 - 1251 ratings - Source

Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, Introduction to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. New to the Second Edition Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets Discussions on local volatility, Dupire's formula, the change of numAcraire techniques, forward measures, and the forward Libor model A new chapter on credit risk modeling An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies Additional exercises and problems Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world.We see that, for any continous process (q(t)), it is then possible to build a model of the form (6.20): take a solution of (6.22) ... Note that the boundedness condition on G is essential since, for G(a) = a, there is no solution (see Heath, Jarrow, andanbsp;...

Title:Introduction to Stochastic Calculus Applied to Finance, Second Edition
Author: Damien Lamberton, Bernard Lapeyre
Publisher:CRC Press - 2011-12-14

You must register with us as either a Registered User before you can Download this Book. You'll be greeted by a simple sign-up page.

Once you have finished the sign-up process, you will be redirected to your download Book page.

How it works:
  • 1. Register a free 1 month Trial Account.
  • 2. Download as many books as you like (Personal use)
  • 3. Cancel the membership at any time if not satisfied.

Click button below to register and download Ebook
Privacy Policy | Contact | DMCA