𝔖 Scriptorium
✦   LIBER   ✦
📁

Introduction to Stochastic Calculus Applied to Finance, Second Edition

✍ Scribed by Lamberton, Damien; Lapeyre, Bernard

Publisher
CRC Press
Year
2011
Tongue
English
Leaves
253
Series
Chapman & Hall/CRC financial mathematics series
Edition
2nd ed
Category
Library
⬇  Acquire This Volume

No coin nor oath required. For personal study only.

✦ Synopsis

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 and Markov chains Application to American options BROWNIAN MOTION AND STOCHASTIC DIFFERENTIAL EQUATIONS General Read more...


Abstract:
Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance Read more...

✦ Table of Contents

Content: Front cover
Preface to the second edition
Contents
Introduction
Chapter 1: Discrete-time models
Chapter 2: Optimal stopping problem and American options
Chapter 3: Brownian motion and stochastic di˙erentialequations
Chapter 4: The Black-Scholes model
Chapter 5: Option pricing and partial differential equations
Chapter 6: Interest rate models
Chapter 7: Asset models with jumps
Chapter 8: Credit risk models
Chapter 9: Simulation and algorithms for financial models
Appendix
Bibliography
Back cover

✦ Subjects

Финансово-экономические дисциплины;Финансовая математика;

📜 SIMILAR VOLUMES

Introduction to Stochastic Calculus Appl
📁 Introduction to Stochastic Calculus Applied to Finance
✍ Damien Lamberton, Bernard Lapeyre, Nicolas Rabeau, Francois Mantion 📂 Library 📅 1996 🏛 Springer 🌐 English

In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Cal

Introduction to Stochastic Calculus Appl
📁 Introduction to Stochastic Calculus Applied to Finance
✍ Damien Lamberton (Author); Bernard Lapeyre (Author) 📂 Library 📅 2007 🏛 Chapman and Hall/CRC

<p>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

Introduction to Stochastic Calculus Appl
📁 Introduction to Stochastic Calculus Applied to Finance
✍ Damien Lamberton, Bernard Lapeyre, Nicolas Rabeau, Francois Mantion 📂 Library 📅 1996 🏛 Chapman & Hall 🌐 French

In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modelling with clear explanations of the most useful models. Introduction to Stochastic Ca

Introduction to Stochastic Calculus Appl
📁 Introduction to Stochastic Calculus Applied to Finance (Stochastic Modeling)
✍ Damien Lamberton, Bernard Lapeyre, 📂 Library 📅 1996 🌐 English

In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Cal