Stochastic Calculus For Finance Ii
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| Author | : Steven Shreve |
| Publisher | : Springer |
| Total Pages | : 0 |
| Release | : 2010-12-01 |
| Genre | : Mathematics |
| ISBN | : 9781441923110 |
"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM
| Author | : Steven Shreve |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 212 |
| Release | : 2005-06-28 |
| Genre | : Mathematics |
| ISBN | : 9780387249681 |
Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance
| Author | : Steven E. Shreve |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 586 |
| Release | : 2004-06-03 |
| Genre | : Business & Economics |
| ISBN | : 9780387401010 |
"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM
| Author | : J. Michael Steele |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 303 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1468493051 |
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
| Author | : Thomas Mikosch |
| Publisher | : World Scientific |
| Total Pages | : 230 |
| Release | : 1998 |
| Genre | : Mathematics |
| ISBN | : 9789810235437 |
Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.
| Author | : Martin Baxter |
| Publisher | : Cambridge University Press |
| Total Pages | : 252 |
| Release | : 1996-09-19 |
| Genre | : Business & Economics |
| ISBN | : 9780521552899 |
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
| Author | : Alison Etheridge |
| Publisher | : Cambridge University Press |
| Total Pages | : 208 |
| Release | : 2002-08-15 |
| Genre | : Business & Economics |
| ISBN | : 9780521890779 |
Finance provides a dramatic example of the successful application of mathematics to the practical problem of pricing financial derivatives. This self-contained text is designed for first courses in financial calculus. Key concepts are introduced in the discrete time framework: proofs in the continuous-time world follow naturally. The second half of the book is devoted to financially sophisticated models and instruments. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts are applied to realistic financial questions.
| Author | : Ioannis Karatzas |
| Publisher | : Springer |
| Total Pages | : 490 |
| Release | : 2014-03-27 |
| Genre | : Mathematics |
| ISBN | : 1461209498 |
A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.
| Author | : Ioannis Karatzas |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 427 |
| Release | : 1998-08-13 |
| Genre | : Business & Economics |
| ISBN | : 0387948392 |
This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion- driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the text. This monograph should be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options. Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8.
| Author | : Albert N. Shiryaev |
| Publisher | : World Scientific |
| Total Pages | : 852 |
| Release | : 1999 |
| Genre | : Business & Economics |
| ISBN | : 9810236050 |
Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.
