Introduction to Stochastic Calculus Applied to Finance (Chapman & Hall/CRC Financial Mathematics Series)

Lamberton, Damien (Universite de Marne-la-Vallee France) and Bernard Lapeyre:

ISBN 10: 1584886269 / ISBN 13: 9781584886266

Published by Taylor & Francis Inc 11.2007., 2007

About this Item

254 Seiten Ein sehr sauberes gebundenes Exemplar mit 254 Seiten in englischer Sprache, welches einen ungelesenen Eindruck macht. Lediglich mit oberflächlichen Druckstellen am Cover- siehe Scan. Rechnung mit ausgewiesener Mehrwertsteuer liegt der Sendung bei! Lieferung aus Deutschland mit spritzgeschützter und stabiler Versandverpackung. Fach P2 P2 Sprache: Englisch Gewicht in Gramm: 496 hardcover, gebundene Ausgabe, Hardcover/Pappeinband.

Seller Inventory # 27794

Bibliographic Details

• Title: Introduction to Stochastic Calculus Applied to Finance (Chapman & Hall/CRC Financial Mathematics Series)
• Publisher: Taylor & Francis Inc 11.2007.
• Publication Date: 2007
• Language: English
• ISBN 10: 1584886269
• ISBN 13: 9781584886266
• Binding: Hardcover
• Edition: Auflage: 2 New edition.
• Condition: Sehr gut
• Weight: 496 grams
• Seller catalogs:
  • Allgemein

About this title

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.

About the Author

Lamberton, Damien; Lapeyre, Bernard