Introduction to Stochastic Calculus Applied to Finance, Second Edition - Rilegato

Lamberton, Damien; Lapeyre, Bernard

Rilegato

ISBN 10: 0412718006 ISBN 13: 9780412718007

Casa editrice: Chapman and Hall/CRC, 1996

Riassunto

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.

Su questo libro

Contenuti:

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

Product Description:

Book by Lamberton Damien Lapeyre Bernard

Su questa edizione

• Editore: Chapman and Hall/CRC
• Data di pubblicazione: 1996
• ISBN 10: 0412718006
• ISBN 13: 9780412718007
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 200