Introduction to Stochastic Calculus Applied to Finance, Second Edition

Damien Lamberton, Bernard Lapeyre (Autoren)

Buch | Hardcover

200 Seiten

1996
CRC Press (Verlag)
978-0-412-71800-7 (ISBN)

Infos

This text provides an introduction to the stochastic methods of calculus that are currently used in financial market models. It should be of interest to stochastic processing graduate students, mathematical finance students, and MBA students.

---

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 Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.

Inhalt

Introduction. 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. Simulation and algorithms for financial models. Appendix. References. Index

Produkt-Details

• Erscheint lt. Verlag: 1.6.1996
• Reihe/Serie: Chapman & Hall/CRC Financial Mathematics Series
• Verlagsort: London
• Sprache: englisch
• Maße: 216 x 279 mm
• Gewicht: 408 g
• Einbandart: gebunden
• Themenwelt: Mathematik / Informatik ► Mathematik ► Analysis
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• ISBN-10: 0-412-71800-6 / 0412718006
• ISBN-13: 978-0-412-71800-7 / 9780412718007
• Zustand: Neuware