Introduction to Stochastic Calculus Applied to Finance (2) (Chapman and Hall/CRC Financial Mathematics Series)

By: Damien Lamberton and Bernard Lapeyre

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Synopsis: Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, this concise and accessible introduction covers the probabilistic techniques required to understand the most widely used financial models. Along with additional exercises, this edition presents fully updated material on stochastic volatility models and option pricing as well as a new chapter on credit risk modeling. It contains many numerical experiments and real-world examples taken from the authors' own experiences. The book also provides all of the necessary stochastic calculus theory and implements some of the algorithms using SciLab. Key topics covered include martingales, arbitrage, option pricing, and the Black-Scholes model.

Book Quality:: Publisher Quality
Book Size:: 254 Pages
ISBN-13:: 9781040064795
Related ISBNs:: 9780429121081, 9781138097346, 9781032477817, 9781420009941, 9781584886266
Publisher:: CRC Press
Date of Addition:: 02/17/24
Copyrighted By:: Taylor & Francis Group, LLC
Adult content:: No
Language:: English
Has Image Descriptions:: No
Categories:: Nonfiction, Business and Finance, Mathematics and Statistics
Submitted By:: Bookshare Staff
Usage Restrictions:: This is a copyrighted book.