Damien Lamberton, Bernard Lapeyre

Introduction to Stochastic Calculus Applied to Finance

• Gebundenes Buch

Produktbeschreibung

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.

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Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Inc
• 2 ed
• Seitenzahl: 254
• Erscheinungstermin: 1. Oktober 2007
• Englisch
• Abmessung: 241mm x 158mm x 20mm
• Gewicht: 496g
• ISBN-13: 9781584886266
• ISBN-10: 1584886269
• Artikelnr.: 20979143

Autorenporträt

Lamberton, Damien; Lapeyre, Bernard

Inhaltsangabe

Discrete-Time Models. Optimal Stopping Problem and American Options.
Brownian Motion and Stochastic Differential Equations. The Black-Scholes
Model. Option Pricing and Partial Differential Equations. Interest Rate
Models. Asset Models with Jumps. Credit Risk Models. Simulation and
Algorithms for Financial Models. Appendix. Bibliography. Index.

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Discrete-Time Models. Optimal Stopping Problem and American Options. Brownian Motion and Stochastic Differential Equations. The Black-Scholes Model. Option Pricing and Partial Differential Equations. Interest Rate Models. Asset Models with Jumps. Credit Risk Models. Simulation and Algorithms for Financial Models. Appendix. Bibliography. Index.

Rezensionen

The second edition of this book provides a concise and accessible introduction to the probabilistic techniques needed to understand the most widely used financial models. This edition incorporates many new techniques and concepts to be used to describe the behavior of financial markets. ... the solutions obtained using SciLab for computer experiments are available at http://cermics.enpc.fr/~bl/scilab/ These experiments were well designed by the authors based on their teaching and research experience and were found to be effective in communicating these concepts and ideas and enhancing the understanding of readers. ... a solid introduction to stochastic approaches used in the financial world. The authors cover many key finance topics ... . The book can be used as a reference text by researchers and graduate students in financial mathematics. It also is ideal reading material for practicing financial analysts and consultants using mathematical models for finance.
-Technometrics, May 2009, Vol. 51, No. 2