Articoli correlati a Introduction to Stochastic Calculus Applied to Finance

Introduction to Stochastic Calculus Applied to Finance - Rilegato

Libro 20 di 71: Chapman and Hall/CRC Financial Mathematics

Lamberton, Damien; Lapeyre, Bernard

 
9781584886266: Introduction to Stochastic Calculus Applied to Finance
Rilegato
ISBN 10: 1584886269 ISBN 13: 9781584886266
Casa editrice: Chapman and Hall/CRC, 2007

Sinossi

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.

    • Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

    Informazioni sull'autore

    Lamberton, Damien; Lapeyre, Bernard

    Dalla quarta di copertina

    Maintaining the lucid style of its popular predecessor, this concise and accessible introduction covers the probabilistic techniques required to understand the most widely used financial models. Along with additional exercises, this edition presents fully updated material on stochastic volatility models and option pricing.

    Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

    Editore
    Chapman and Hall/CRC
    Data di pubblicazione
    2007
    Lingua
    Inglese
    ISBN 10 
    1584886269
    ISBN 13 
    9781584886266
    Rilegatura
    Copertina rigida
    Numero edizione
    2
    Numero di pagine
    254
    Contatto del produttore
    Taylor and Francis, GPSR Taylor and Francis
    gpsr@taylorandfrancis.com

    Taylor & Francis Verlag GmbH, Kaufingerstraße 24
    München
    80331
    Germania