Introduction to Stochastic Calculus Applied to Finance

AvDamien Lamberton,Bernard Lapeyre

E-bok

Engelska, 2011

Del i serien Chapman and Hall/CRC Financial Mathematics Series

496 kr

Läs direkt i Bokus Reader – eller ladda ned till din enhet

Fler format och utgåvor

Häftad

740 kr

E-bok

841 kr

Inbunden

1 474 kr

Beskrivning

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, this concise and accessible introduction covers the probabilistic techniques required to understand the most widely used financial models. Along with additional exercises, this edition presents fully updated material on stochastic volatility models and option pricing as well as a new chapter on credit risk modeling. It contains many numerical experiments and real-world examples taken from the authors' own experiences. The book also provides all of the necessary stochastic calculus theory and implements some of the algorithms using SciLab. Key topics covered include martingales, arbitrage, option pricing, and the Black-Scholes model.

Produktinformation

Utgivningsdatum:2011-12-14
Språk:Engelska
ISBN:9781420009941
Förlag:Taylor & Francis Ltd
Upplaga:2
Serie:Chapman and Hall/CRC Financial Mathematics Series

Utforska kategorier

Mer om författaren

Lamberton, Damien; Lapeyre, Bernard

Recensioner i media

The second edition of this book provides a concise and accessible introduction to the probabilistic techniques needed to understand the most widely used financial models. This edition incorporates many new techniques and concepts to be used to describe the behavior of financial markets. ... the solutions obtained using SciLab for computer experiments are available at http://cermics.enpc.fr/~bl/scilab/ These experiments were well designed by the authors based on their teaching and research experience and were found to be effective in communicating these concepts and ideas and enhancing the understanding of readers. ... a solid introduction to stochastic approaches used in the financial world. The authors cover many key finance topics ... . The book can be used as a reference text by researchers and graduate students in financial mathematics. It also is ideal reading material for practicing financial analysts and consultants using mathematical models for finance. -Technometrics, May 2009, Vol. 51, No. 2

Innehållsförteckning

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.