Introduction to Stochastic Calculus Applied to Finance by Bernard Lapeyre
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Author: Bernard Lapeyre
Page Count: 254 pages
Published Date: 30 Nov 2007
Publisher: Taylor & Francis Inc
Publication Country: Boca Raton, FL, United States
Language: English
ISBN: 9781584886266
File size: 19 Mb
File Name: Introduction.to.Stochastic.Calculus.Applied.to.Finance.pdf
Download Link: 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 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.
Read online Introduction to Stochastic Calculus Applied to Finance Buy Introduction to Stochastic Calculus Applied to Finance Download and read Introduction to Stochastic Calculus Applied to Finance for pc, mac, kindle, readers Download to iPad/iPhone/iOS, B&N nook Introduction to Stochastic Calculus Applied to Finance
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Author: Bernard Lapeyre
Page Count: 254 pages
Published Date: 30 Nov 2007
Publisher: Taylor & Francis Inc
Publication Country: Boca Raton, FL, United States
Language: English
ISBN: 9781584886266
File size: 19 Mb
File Name: Introduction.to.Stochastic.Calculus.Applied.to.Finance.pdf
Download Link: 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 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.
Read online Introduction to Stochastic Calculus Applied to Finance Buy Introduction to Stochastic Calculus Applied to Finance Download and read Introduction to Stochastic Calculus Applied to Finance for pc, mac, kindle, readers Download to iPad/iPhone/iOS, B&N nook Introduction to Stochastic Calculus Applied to Finance
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