Stochastic Calculus for Finance by Marek Capi?ski, Ekkehard K... - 9781107002647
Stochastic Calculus for FinanceAuthor(s): Marek Capi?ski, Ekkehard Kopp, Janusz Traple
Format: Hardback
Publisher: Cambridge University Press, United Kingdom
Imprint: Cambridge University Press
ISBN-13: 9781107002647, 978-1107002647
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 It integrals in some detail, with a focus on results needed for the BlackScholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the It 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.
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Stochastic Calculus for Finance by Marek Capi?ski, Ekkehard K... - 9781107002647
Stochastic Calculus for FinanceAuthor(s): Marek Capi?ski, Ekkehard Kopp, Janusz Traple
Format: Hardback
Publisher: Cambridge University Press, United Kingdom
Imprint: Cambridge University Press
ISBN-13: 9781107002647, 978-1107002647
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 It integrals in some detail, with a focus on results needed for the BlackScholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the It 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.
Price now:
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£62.36
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£82.70
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Product Description
Stochastic Calculus for FinanceAuthor(s): Marek Capi?ski, Ekkehard Kopp, Janusz Traple
Format: Hardback
Publisher: Cambridge University Press, United Kingdom
Imprint: Cambridge University Press
ISBN-13: 9781107002647, 978-1107002647
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 It integrals in some detail, with a focus on results needed for the BlackScholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the It 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.
Product Specifications
General | |
|---|---|
format | hardcover |
Language | english |
series | mastering mathematical finance ser. |
type | textbook |
artist | not specified |
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