Buch, Englisch, 336 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 644 g
Reihe: Applied Mathematics
Buch, Englisch, 336 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 644 g
Reihe: Applied Mathematics
ISBN: 978-1-58488-234-3
Verlag: Taylor & Francis
The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale.
The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives.
Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.
Zielgruppe
Academic and Professional Practice & Development
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
- Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
Weitere Infos & Material
Martingale Theory. Brownian Motion. Stochastic Integration. Application to Finance. Appendices.
