Introduction to Stochastic Calculus Applied to Finance, Second Edition
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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 Generalcomments 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 financetopics, including a chapter dedicated to credit risk modeling.
LF/587595/R
Data sheet
- Name of the Author
- Bernard
Damien
Lamberton
Lapeyre - Language
- English
- Series
- Chapman & Hall/CRC financial mathematics series
- ISBN
- 9781420009941
- Release date
- 2011
