Introduction to Stochastic Calculus Applied to Finance, Second Edition
Lamberton, Damien, Lapeyre, Bernard
INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope and Markov chains Application to American options BROWNIAN MOTION AND STOCHASTIC DIFFERENTIAL EQUATIONS General comments on continuous-time processesBrownian motion Continuous-time martingales Stochastic integral and Itô calculus Stochastic differential equations THE BLACK-SCHOLES MODEL Description.
Abstract: Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance topics, including a chapter dedicated to credit risk modeling.
Abstract: Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance topics, including a chapter dedicated to credit risk modeling.
Categorie:
Anno:
2011
Edizione:
2nd ed
Casa editrice:
CRC Press
Lingua:
english
Pagine:
253
ISBN 10:
142000994X
ISBN 13:
9781420009941
Collana:
Chapman & Hall/CRC financial mathematics series
File:
PDF, 2.40 MB
IPFS:
,
english, 2011
Amazon 
Barnes & Noble 
Bookshop.org 
Converti i file
Più risultati di ricerca
Altri vantaggi 
Termini più frequenti
Liste di libri correlati
