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  1. Continuous Stochastic Calculus with Applications to Finance
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  2. Continuous Stochastic Calculus with Applications to Finance

    [1584882344]
    Delivery: 10-20 Working Days
    Customer Ratings (5 USA reviews)
    Price R3862.00

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Additional Information

The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale.

The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives.

Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.

Specifications

Country
USA
Author
Michael Meyer
Binding
Hardcover
Brand
Brand: Chapman and Hall/CRC
EAN
9781584882343
Edition
1
Feature
Used Book in Good Condition
ISBN
1584882344
Label
Chapman and Hall/CRC
Manufacturer
Chapman and Hall/CRC
NumberOfItems
1
NumberOfPages
336
PublicationDate
2000-10-25
Publisher
Chapman and Hall/CRC
Studio
Chapman and Hall/CRC
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