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Introduction to Stochastic Calculus Applied to Finance (Chapman and Hall/CRC Financial Mathematics Series) - Hardcover

Book 20 of 71: Chapman and Hall/CRC Financial Mathematics

Lamberton, Damien; Lapeyre, Bernard

  • 4.29 out of 5 stars
    7 ratings by Goodreads
 
9781584886266: Introduction to Stochastic Calculus Applied to Finance (Chapman and Hall/CRC Financial Mathematics Series)
Hardcover
ISBN 10: 1584886269 ISBN 13: 9781584886266
Publisher: Chapman and Hall/CRC, 2007

Synopsis

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.

    • "synopsis" may belong to another edition of this title.

    About the Author

    Lamberton, Damien; Lapeyre, Bernard

    "About this title" may belong to another edition of this title.

    Publisher
    Chapman and Hall/CRC
    Publication date
    2007
    Language
    English
    ISBN 10 
    1584886269
    ISBN 13 
    9781584886266
    Binding
    Hardcover
    Edition number
    2
    Number of pages
    254
    Rating
    • 4.29 out of 5 stars
      7 ratings by Goodreads