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Introduction to Stochastic Calculus Applied to Finance

Damien Lamberton | Bernard Lapeyre
€107.99
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A01=Bernard Lapeyre
A01=Damien Lamberton
Admissible Strategy
advanced financial derivatives analysis
american
American Option
asset pricing theory
Author_Bernard Lapeyre
Author_Damien Lamberton
brownian
Category=KFF
Category=PBKA
Category=PBWL
CDS
Conditional Expectation
Conditional Hazard Rate
Credit Risk Modelling
Default Time
Deriving Pricing Formulae
Distribution Function
Doob Decomposition
Dupire's Formula
envelope
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
financial mathematics
Forward Libor
Hazard Rate
Local Volatility Model
Martingale Representation Theorem
Martingale Transform
Merton's Model
motion
Optimal Stopping
option
Optional Sampling Theorem
quantitative finance
random
risk management methods
Riskless Asset
risky
simulation techniques
snell
Snell Envelope
standard
Standard Brownian Motion
Stochastic Integration
stochastic modeling
Strike Price
variable
Vasicek Model

Product details

  • ISBN 9781584886266
  • Weight: 500g
  • Dimensions: 156 x 234mm
  • Publication Date: 30 Nov 2007
  • Publisher: Taylor & Francis Inc
  • Publication City/Country: US
  • Product Form: Hardback
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Description

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.
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    About Bernard Lapeyre | Damien Lamberton
    Lamberton, Damien; Lapeyre, Bernard

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