Introduction to Stochastic Calculus Applied to Finance

Damien Lamberton (u. a.)

ISBN 10: 1032477814 / ISBN 13: 9781032477817

Editore: Taylor & Francis, 2023

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Introduction to Stochastic Calculus Applied to Finance | Damien Lamberton (u. a.) | Taschenbuch | Einband - flex.(Paperback) | Englisch | 2023 | Taylor & Francis | EAN 9781032477817 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu.

Codice articolo 126527314

Dati bibliografici

• Titolo: Introduction to Stochastic Calculus Applied to Finance
• Editore: Taylor & Francis
• Data di pubblicazione: 2023
• Lingua: Inglese
• ISBN 10: 1032477814
• ISBN 13: 9781032477817
• Rilegatura: Taschenbuch
• Edizione: seconda edizione
• Condizione: Neu
• Dimensioni: 13 L x 156 A x 234 P (millimetri) 13 millimetri di larghezza per 156 millimetri di altezza per 234 millimetri di profondità
• Peso: 358 grammi
• Cataloghi dei venditori:
  • Bücher

Descrizione articolo

Riassunto

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.

Informazioni sull?autore

Lamberton, Damien; Lapeyre, Bernard