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Stochastic Calculus for Finance (Mastering Mathematical Finance)


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Publisher Comments:

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 It 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 It 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 It 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 Details

Capi Ski, Marek
Cambridge University Press
Capiski, Marek
Mathematics - Statistics
Publication Date:

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Business » Accounting and Finance
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History and Social Science » World History » General
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Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Probability and Statistics » Probability Theory
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Stochastic Calculus for Finance (Mastering Mathematical Finance) New Trade Paper
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Product details pages Cambridge University Press - English 9780521175739 Reviews:
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