ENGLISH

Stochastic Calculus for Finance

By Marek Capinski , Ekkehard Kopp , Janusz Traple

Book information

Publisher
Cambridge University Press
Year
2012
ISBN
1107002648, 9781107002647, 9780521175739
Language
english
Format
PDF
Filesize
755 kB (773570 bytes)
Series
Mastering Mathematical Finance
Edition
1
Pages
186\188
Topic
Economy
Scanned
yes
Time added
2014-05-12 22:48:28
Финансово-экономические дисциплины;Финансовая мате

Description

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.

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