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Introduction to Stochastic Finance with Market Examples

Nicolas Privault
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A01=Nicolas Privault
advanced stochastic option valuation
Arbitrage Free Price
Asset Price Process
Assets
Author_Nicolas Privault
Black Scholes PDE
Brownian Motion
Call Option
Category=KCH
Category=KF
Category=PBT
Category=PBW
Conditional Expectations
Delta Hedging Strategy
derivative pricing models
Discounted Asset Price
Discrete-Time Model
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Estimation of Volatility
financial mathematics
Finite Differences Methods
Geometric Brownian Motion
jump diffusion processes
Local Volatility
Lookback Call Option
Lookback Options
Market Option Prices
martingale methods
Option Price
Option Price Data
Portfolios and Arbitrage
Pricing and Hedging
quantitative finance techniques
Risk Neutral Measure
Risk Neutral Probability Measure
Riskless Asset
Risky Asset
Self-financing Condition
Self-financing Portfolio
stochastic calculus applications
Stochastic Differential Equations
Strike Price
Super Martingale
The Black-Scholes PDE
Underlying Asset Price

Product details

  • ISBN 9781032288260
  • Weight: 1700g
  • Dimensions: 178 x 254mm
  • Publication Date: 13 Dec 2022
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Hardback
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Description

Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, American options, derivatives, term structure modeling, and change of numéraire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes.

New to this Edition

  • New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility
  • Contains over 235 exercises and 16 problems with complete solutions available online from the instructor resources
  • Added over 150 graphs and figures, for more than 250 in total, to optimize presentation

  • 57 R coding examples now integrated into the book for implementation of the methods

  • Substantially class-tested, so ideal for course use or self-study

With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field.
About Nicolas Privault

Nicolas Privault received a PhD degree from the University of Paris VI, France. He was with the University of Evry, France, the University of La Rochelle, France, and the University of Poitiers, France. He is currently a Professor with the School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore. His research interests are in the areas of stochastic analysis and its applications.

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