Stochastic Calculus for Finance | Taschenbuch

Cover: 9780521175739 | Stochastic Calculus for Finance | Marek Capi¿ski (u. a.) | Taschenbuch

Rückseite: 9780521175739 | Stochastic Calculus for Finance | Marek Capi¿ski (u. a.) | Taschenbuch

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Sprache: Englisch

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Beschreibung

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 Itô 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 Itô 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 Itô 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.

Über den Autor

Marek Capi¿ski has published over fifty research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over thirty-five years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow, where he established a Master's programme in mathematical finance.

Inhaltsverzeichnis

Preface; 1. Discrete time processes; 2. Wiener process; 3. Stochastic integrals; 4. Itô formula; 5. Stochastic differential equations; Index.

Details

Erscheinungsjahr:	2012
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
ISBN-13:	9780521175739
ISBN-10:	0521175739
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Capi¿ski, Marek Kopp, Ekkehard Traple, Janusz
Hersteller:	Cambridge University Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	229 x 152 x 10 mm
Von/Mit:	Marek Capi¿ski (u. a.)
Erscheinungsdatum:	23.08.2012
Gewicht:	0,279 kg