Stochastic Analysis for Finance with Simulations

Geon Ho Choe

ISBN 10: 3319255878 / ISBN 13: 9783319255873

Published by Springer-Verlag Gmbh Aug 2016, 2016

About this Item

This item is printed on demand - it takes 3-4 days longer - Neuware -This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black-Scholes-Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena.The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts. StochasticAnalysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry. 657 pp. Englisch.

Seller Inventory # 9783319255873

Bibliographic Details

• Title: Stochastic Analysis for Finance with Simulations
• Publisher: Springer-Verlag Gmbh Aug 2016
• Publication Date: 2016
• Language: English
• ISBN 10: 3319255878
• ISBN 13: 9783319255873
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 235W x 155H x 37D millimeters 235 millimeters width by 155 millimeters height by 37 millimeters depth
• Weight: 1031 grams

About this title

Synopsis

This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. 

The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts.  

Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.  

About the Author

The author's main interests are simulations of random phenomena in the areas of quantitative finance, random number generators, dynamical systems theory, and information theory. He has published a book titled "Computational Ergodic Theory".