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Stochastic Calculus for Finance Capi?ski Kopp Traple Paperback 9780521175739
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Located in: AL7 1AD, United Kingdom
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eBay item number:394470154538
Item specifics
- Condition
- Brand New: A new, unread, unused book in perfect condition with no missing or damaged pages. See all condition definitionsopens in a new window or tab
- BIC Subject Area 1
- Stochastics [PBWL]
- BIC Subject Area 2
- Probability & statistics [PBT]
- BIC Subject Area 3
- Mathematics [PB]
- BIC Subject Area 4
- Finance [KFF]
- BIC Subject Area 5
- Econometrics [KCH]
- ISBN
- 9780521175739
- Publication Year
- 2012
- Type
- Textbook
- Format
- Paperback
- Language
- English
- Publication Name
- Stochastic Calculus for Finance
- Item Height
- 228mm
- Publisher
- Cambridge University Press
- Item Width
- 152mm
- Subject
- Finance, Mathematics
- Item Weight
- 320g
- Number of Pages
- 186 Pages
About this product
Product Information
This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Ito integrals in some detail, with a focus on results needed for the Black-Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Ito formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Ito calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.
Product Identifiers
Publisher
Cambridge University Press
ISBN-13
9780521175739
eBay Product ID (ePID)
115737958
Product Key Features
Publication Name
Stochastic Calculus for Finance
Format
Paperback
Language
English
Subject
Finance, Mathematics
Publication Year
2012
Type
Textbook
Number of Pages
186 Pages
Dimensions
Item Height
228mm
Item Width
152mm
Item Weight
320g
Additional Product Features
Series Title
Mastering Mathematical Finance
Country/Region of Manufacture
United Kingdom
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eBay item number:394470154538
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