Introduction to Stochastic Calculus Applied to Finance
Book Details
Format
Hardback or Cased Book
ISBN-10
1584886269
ISBN-13
9781584886266
Publisher
Taylor & Francis Inc
Imprint
Chapman & Hall/CRC
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Nov 30th, 2007
Print length
254 Pages
Weight
496 grams
Dimensions
24.40 x 16.50 x 1.90 cms
Product Classification:
FinanceCalculusStochastics
Ksh 17,100.00
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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.
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.
New to the Second Edition
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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