Introduction to Stochastic Calculus Applied to Finance (Chapman & Hall/CRC Financial Mathematics Series) Lamberton, Damien; Lapeyre, Bernard; Rabeau, Nicolas and Mantion, Francois

ISBN 10: 0412718006 / ISBN 13: 9780412718007

Editore: Springer, 1996

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Codice articolo 507-3-1-17

Dati bibliografici

• Titolo: Introduction to Stochastic Calculus Applied to Finance (Chapman & Hall/CRC Financial Mathematics Series) Lamberton, Damien; Lapeyre, Bernard; Rabeau, Nicolas and Mantion, Francois
• Editore: Springer
• Data di pubblicazione: 1996
• Lingua: Inglese
• ISBN 10: 0412718006
• ISBN 13: 9780412718007
• Rilegatura: Rilegato
• Condizione: gebraucht; wie neu

Descrizione articolo

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.

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