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Item Details
| Title:
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STOCHASTIC CALCULUS FOR FINANCE
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| By: |
Marek Capinski, Ekkehard Kopp, Janusz Traple |
| Format: |
Electronic book text |
| List price:
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£162.00 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
1139017365 |
| ISBN 13: |
9781139017367 |
| Publisher: |
CAMBRIDGE UNIVERSITY PRESS |
| Pub. date: |
5 November, 2012 |
| Series: |
Mastering Mathematical Finance |
| Description: |
This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition. |
| Synopsis: |
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 Ito 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 Ito 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 Ito 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. |
| Illustrations: |
6 b/w illus. 85 exercises |
| Publication: |
UK |
| Imprint: |
Cambridge University Press (Virtual Publishing) |
| Returns: |
Non-returnable |
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