Stochastic Calculus for Finance (Paperback)
 
作者: Marek Capinski 
分類: Finance ,
Applied mathematics  
書城編號: 382818


售價: $336.00

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出版社: Cambridge University Press
出版日期: 2012/08/23
尺寸: 227x154x14mm
重量: 319 grams
ISBN: 9780521175739

商品簡介
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 It 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 It 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 It 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.
Marek Capinski 作者作品表

Stochastic Calculus for Finance (Paperback)

Discrete Models of Financial Markets (Paperback)

Mathematics for Finance (Paperback)

Measure, Integral and Probability (Paperback)

Probability Through Problems (Hardcover)

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