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Introduction to Stochastic Calculus Applied to Finance, Second Edition

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Synopses & Reviews

Publisher Comments:

Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, Introduction to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field.

New to the Second Edition

Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets

Discussions on local volatility, Dupire's formula, the change of num?raire techniques, forward measures, and the forward Libor model

A new chapter on credit risk modeling

An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies

Additional exercises and problems

Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world.

Synopsis:

Maintaining the lucid style of its popular predecessor, this second edition incorporates some of the newest techniques and concepts to provide an accessible, up-to-date initiation to mathematical methods of financial modeling with clear explanations of the most useful models.

Synopsis:

<P>Introduction to Stochastic Calculus Applied to Finance, Second Edition is a new edition of a very popular text in mathematical finance that has been widely embraced internationally. The book has been fully updated, with many sections greatly enhanced, and new material incorporated on stochastic volatility models, options pricing, and credit risk modeling. The book maintains its concise style, which makes it an ideal introductory text for students of mathematical finance, or a quick introduction to researchers and finance practitioners. It covers all the stochastic calculus theory required, as well as many key finance topics, including a new chapter dedicated to credit risk modeling.</P>

Product Details

ISBN:
9781584886266
Author:
Lamberton, Damien
Publisher:
Chapman & Hall/CRC
Author:
Lamberton, Lamberton
Author:
Lapeyre, Bernard
Subject:
Probability & Statistics - General
Subject:
Investments
Subject:
Mathematics
Subject:
Investments & Securities - Futures
Subject:
Calculus
Subject:
Investments -- Mathematics.
Subject:
Stochastic analysis
Subject:
Mathematics-Calculus
Edition Number:
2
Series:
Chapman & Hall/CRC Financial Mathematics
Publication Date:
20071031
Binding:
Hardcover
Language:
English
Pages:
253
Dimensions:
9.47x6.22x.77 in. 1.06 lbs.

Related Subjects

Business » Investing » Futures
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Calculus » General
Science and Mathematics » Mathematics » Econometrics
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Introduction to Stochastic Calculus Applied to Finance, Second Edition New Hardcover
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$104.25 In Stock
Product details 253 pages Chapman & Hall/CRC - English 9781584886266 Reviews:
"Synopsis" by , Maintaining the lucid style of its popular predecessor, this second edition incorporates some of the newest techniques and concepts to provide an accessible, up-to-date initiation to mathematical methods of financial modeling with clear explanations of the most useful models.
"Synopsis" by , <P>Introduction to Stochastic Calculus Applied to Finance, Second Edition is a new edition of a very popular text in mathematical finance that has been widely embraced internationally. The book has been fully updated, with many sections greatly enhanced, and new material incorporated on stochastic volatility models, options pricing, and credit risk modeling. The book maintains its concise style, which makes it an ideal introductory text for students of mathematical finance, or a quick introduction to researchers and finance practitioners. It covers all the stochastic calculus theory required, as well as many key finance topics, including a new chapter dedicated to credit risk modeling.</P>
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