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Introduction To Stochastic Calculus Applied To Finance Second Edition 2nd Ed Lamberton

Name: Introduction To Stochastic Calculus Applied To Finance Second Edition 2nd Ed Lamberton
SKU: BELL-5145284
Price: 31.00 USD
Availability: InStock
Rating: 4 (46 reviews)

SKU: BELL-5145284

$ 31.00 ~~$ 45.00~~ (-31%)

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Introduction To Stochastic Calculus Applied To Finance Second Edition 2nd Ed Lamberton instant download after payment.

Publisher: CRC Press

File Extension: PDF

File size: 2.4 MB

Pages: 253

Author: Lamberton, Damien; Lapeyre, Bernard

ISBN: 9781420009941, 142000994X

Language: English

Year: 2011

Edition: 2nd ed

Product desciption

Introduction To Stochastic Calculus Applied To Finance Second Edition 2nd Ed Lamberton by Lamberton, Damien; Lapeyre, Bernard 9781420009941, 142000994X instant download after payment.

INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope and Markov chains Application to American options BROWNIAN MOTION AND STOCHASTIC DIFFERENTIAL EQUATIONS General comments on continuous-time processesBrownian motion Continuous-time martingales Stochastic integral and Itô calculus Stochastic differential equations THE BLACK-SCHOLES MODEL Description.
Abstract: Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance topics, including a chapter dedicated to credit risk modeling.