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portada stochastic calculus for finance
Type
Physical Book
Author
Publisher
Year
2012
Language
English
Pages
177
Format
Hardcover
Dimensions
22.9x15.2x1.8 cm
Weight
0.43 kg.
ISBN
1107002648
ISBN13
9781107002647
Categories

stochastic calculus for finance

Ekkehard Kopp (Author) · Marek Capiński (Author) · Janusz Traple (Author) · Cambridge University Press · Hardcover

stochastic calculus for finance - Capiński, Marek ; Kopp, Ekkehard ; Traple, Janusz

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NT$ 3,315

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Synopsis "stochastic calculus for finance"

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 Itô integrals in some detail, with a focus on results needed for the Black-Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Itô 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 Itô 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.

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