ENGLISH

Introduction to Stochastic Calculus Applied to Finance, Second Edition

By Bernard , Lamberton , Damien; Lapeyre

Book information

Publisher
CRC Press
Year
2011
ISBN
978-1-4200-0994-1, 142000994X
Language
english
Format
PDF
Filesize
2 MB (2515499 bytes)
Series
Chapman & Hall/CRC financial mathematics series
Edition
2nd ed
Pages
253\253
Topic
Economy
Time added
2015-07-19 05:00:00
Финансово-экономические дисциплины;Финансовая мате

Description

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 General comments on continuous-time processesBrownian motion Continuous-time martingales Stochastic integral and Itô calculus Stochastic differential equations THE BLACK-SCHOLES MODEL Description. Read more... 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 finance topics, including a chapter dedicated to credit risk modeling. Read more...

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