Continuous Stochastic Calculus with Applications to Finance
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A01=Michael Meyer
advanced stochastic calculus for finance
Author_Michael Meyer
brownian
Brownian Motion
Category=KF
Category=PBW
Conditional Expectation
Continuous Local Martingale
Continuous Semimartingale
Coupon Bond
derivative pricing models
dimensional
Dimensional Brownian Motion
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equivalent Martingale Measure
financial mathematics
Forward Libor
Forward Martingale Measure
Forward Price
Forward Swap Rate
gaussian
Hilbert space probability
Integrable Random Variable
interest rate modeling
Local Martingale
Martingale Measure
measurable
measure
measure theory applications
motion
nonnegative
Optional Sampling Theorem
Optional Times
Progressively Measurable Processes
px0
random
Riskless Bond
Semimartingale Decomposition
Short Rate Process
Spot Martingale Measure
Stochastic Integral
Stochastic Intervals
stochastic processes
Strike Price
Uniformly Integrable
vector
Product details
- ISBN 9780367455439
- Weight: 453g
- Dimensions: 156 x 234mm
- Publication Date: 02 Dec 2019
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Paperback
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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.
Meyer, Michael
