Continuous Stochastic Calculus with Applications to Finance
Autor Michael Meyeren Limba Engleză Paperback – 2 dec 2019
The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives.
Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.
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Specificații
ISBN-13: 9780367455439
ISBN-10: 0367455439
Pagini: 336
Dimensiuni: 156 x 234 x 18 mm
Greutate: 0.45 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
ISBN-10: 0367455439
Pagini: 336
Dimensiuni: 156 x 234 x 18 mm
Greutate: 0.45 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Public țintă
Academic and Professional Practice & DevelopmentCuprins
Martingale Theory. Brownian Motion. Stochastic Integration. Application to Finance. Appendices.
Descriere
The prolonged boom in the U.S. and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all of the tools rea