Introduction to Stochastic Calculus Applied to Finance (BOK)

Bernard Lapeyre, Damien Lamberton

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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 numeraire 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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 2007 Forfatter Bernard Lapeyre, Damien Lamberton
Forlag
BERTRAMS
ISBN 9781584886266
Antall sider 256 Dimensjoner 15,6cm x 23,5cm x 2cm
Vekt 476 gram Leverandør Bertram Trading Ltd
Emner og form Calculus, Finance, Stochastics