Introduction to Stochastic Calculus Applied to Finance

✍ Scribed by Damien Lamberton (Author); Bernard Lapeyre (Author)

Publisher: Chapman and Hall/CRC
Year: 2007
Leaves: 253
Edition: 2
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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

✦ Table of Contents

Discrete-Time Models. Optimal Stopping Problem and American Options. Brownian Motion and Stochastic Differential Equations. The Black-Scholes Model. Option Pricing and Partial Differential Equations. Interest Rate Models. Asset Models with Jumps. Credit Risk Models. Simulation and Algorithms for Financial Models. Appendix. Bibliography. Index.

✦ Subjects

Economics, Finance, Business & Industry;Finance;Mathematics & Statistics;Applied Mathematics;Financial Mathematics;Statistics & Probability;Statistics;Statistics for Business, Finance & Economics

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INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope