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Introduction to Stochastic Calculus Applied to Finance, Second Edition (Chapman and Hall...
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Home > Mathematics Books > Calculus > Item 490
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Introduction to Stochastic Calculus Applied to Finance, Second Edition (Chapman and Hall...
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by Damien Lamberton and Bernard Lapeyre
Sales Rank: 927004
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List Price: $69.95
$55.96
At Amazon
on 12-5-2008
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Hardcover: 256 pages
Publisher: Chapman & Hall/CRC; 2 edition November 30, 2007
Language: English
ISBN-10: 1584886269
ISBN-13: 978-1584886266
Product Dimensions:
9.3 x 6.1 x 0.8 inches
Shipping Weight: 1 pounds
Product Review
… this is one of those books that brilliantly develops mathematical concepts with little or no financial or intuitive motivation. If you already have the math skills and some familiarity with markets and financial engineering, you will love this book! … I highly recommend this book …
- Glyn A. Holton of Contingency Analysis
… this is one of those books that brilliantly develops mathematical concepts with little or no financial or intuitive motivation. If you already have the math skills and some familiarity with markets and financial engineering, you will love this book! … I highly recommend this book …
- Glyn A. Holton of Contingency Analysis
--This text refers to the
Hardcover
edition.
Product Description
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, Introduction to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. New to the Second Edition · Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets · Discussions on local volatility, Dupire's formula, the change of numéraire techniques, forward measures, and the forward Libor model · A new chapter on credit risk modeling · An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies · Additional exercises and problems Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world.
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Introduction to Stochastic Calculus Applied to Finance, Second Edition (Chapman and Hall...
Available from Amazon
Price: $55.96
Updated on 12-5-2008
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