Stochastic Calculus for Finance (Paperback)

Paperback. This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Ito integrals in some detail, with a focus on results needed for the BlackScholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Ito formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Ito calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online. This brief but full introduction to basic stochastic processes contains key results that have become essential for finance practitioners and provides a solid grounding for understanding the BlackScholes option pricing model. Students, practitioners and researchers will benefit from the authors' rigorous, but unfussy, approach to technical issues. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…