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Introduction to Stochastic Calculus Applied to Finance
SPAR
kr 58
Introduction to Stochastic Calculus Applied to Finance
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 numéraire 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.
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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 numéraire 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.
  • Produktdetaljer
    Sprog: Engelsk
    Sider: 254
    ISBN-13: 9781032477817
    Indbinding: Paperback
    Udgave:
    ISBN-10: 1032477814
    Kategori: Regning
    Udg. Dato: 21 jan 2023
    Længde: 18mm
    Bredde: 154mm
    Højde: 234mm
    Oplagsdato: 21 jan 2023
    Forfatter(e) Bernard (Ecole Nationale des Ponts Chaussees Lapeyre, Damien Lamberton, Bernard Lapeyre


    Kategori Regning


    Sprog Engelsk


    Indbinding Paperback


    Sider 254


    Udgave


    Længde 18mm


    Bredde 154mm


    Højde 234mm

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