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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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.
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Add this copy of Applied Mathematics: Continuous Stochastic Calculus to cart. $51.07, good condition, Sold by Anybook rated 4.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2001 by Chapman & Hall.
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Volume 17. This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. Clean from markings. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 700grams, ISBN: 9781584882343.
Add this copy of Continuous Stochastic Calculus With Applications to to cart. $69.00, very good condition, Sold by More Than Words rated 4.0 out of 5 stars, ships from Waltham, MA, UNITED STATES, published 2000 by CRC Press.
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