Introduction to Stochastic Calculus Applied to Finance, Second Edition
Читати фрагмент
Моментальне завантаження
після оплати (24/7)
Широкий вибір форматів
(для всіх пристроїв)
Повна версія книги
(в т.ч. для Apple та Android)
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
Характеристики
- ФІО Автора
- Bernard
Damien
Lamberton
Lapeyre - Мова
- Англійська
- Серія
- Chapman & Hall/CRC financial mathematics series
- ISBN
- 9781420009941
- Дата виходу
- 2011
![[Starbuck Chronicles 02] •...](https://lionbook.net/1790754-thickbox_default/-starbuck-chronicles-02-copperhead.jpg)
