Introduction to Stochastic Calculus Applied to Finance,...

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Business & Economics - Professional Finance
Introduction to Stochastic Calculus...

Introduction to Stochastic Calculus Applied to Finance, Second Edition

Name: Introduction to Stochastic Calculus Applied to Finance, Second Edition
ISBN: 9781420009941

Lamberton, Damien, Lapeyre, Bernard

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INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope and Markov chains Application to American options BROWNIAN MOTION AND STOCHASTIC DIFFERENTIAL EQUATIONS General comments on continuous-time processesBrownian motion Continuous-time martingales Stochastic integral and Itô calculus Stochastic differential equations THE BLACK-SCHOLES MODEL Description.
Abstract: Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance topics, including a chapter dedicated to credit risk modeling.

Categorias:

Business & Economics - Professional Finance

Ano:

2011

Edição:

2nd ed

Editora:

CRC Press

Idioma:

english

Páginas:

253