Introduction to Stochastic Calculus Applied to Finance, Second Edition
Lamberton, Damien, Lapeyre, Bernard
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.
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.
年:
2011
出版:
2nd ed
出版社:
CRC Press
语言:
english
页:
253
ISBN 10:
142000994X
ISBN 13:
9781420009941
系列:
Chapman & Hall/CRC financial mathematics series
文件:
PDF, 2.40 MB
IPFS:
,
english, 2011
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