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Continuous Stochastic Calculus with Applications to Finance

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Continuous Stochastic Calculus with Applications to Finance - Meyer, Michael
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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 ...

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Continuous Stochastic Calculus with Applications to Finance 2019, Chapman & Hall/CRC

ISBN-13: 9780367455439

Paperback

Continuous Stochastic Calculus with Applications to Finance 2000, CRC Press, Oxford

ISBN-13: 9781584882343

Hardcover