Continuous Stochastic Calculus with Applications to Finance - Hardcover

Meyer, Michael

Hardcover

ISBN 10: 1584882344 ISBN 13: 9781584882343

Publisher: Chapman and Hall/CRC, 2000

Synopsis

The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale.

The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives.

Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.

About this title

Review:

"As a reference or a second book on stochastic calculus, Meyer is outstanding. In a formal, highly rigorous manner, he develops stochastic calculus, all the while focusing on topics of primary interest to financial engineers. I highly recommend Meyer. It is an excellent introduction and reference on stochastic calculus." - Glyn A. Holton of Contingency Analysis

About this edition

• Publisher: Chapman and Hall/CRC
• Publication date: 2000
• ISBN 10: 1584882344
• ISBN 13: 9781584882343
• Binding: Hardcover
• Edition number: 1
• Number of pages: 336