Stochastic Calculus for Finance (Mastering Mathematical Finance)

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9780521175739: Stochastic Calculus for Finance (Mastering Mathematical Finance)

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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Book Description:

This brief but full introduction to basic stochastic processes contains key results that have become essential for finance practitioners and provides a solid grounding for understanding the Black-Scholes option pricing model. Students, practitioners and researchers will benefit from the authors' rigorous, but unfussy, approach to technical issues.

About the Author:

Marek Capiński has published over fifty research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over thirty-five years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow, where he established a Master's programme in mathematical finance.

Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998-2008) and the Cambridge University Press AIMS Library series. He has authored more than fifty research publications and five books.

Janusz Traple is Professor of Mathematics in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His former positions and visiting fellowships include the Jagiellonian University in Krakow, Scuola Normale in Pisa, University of Siena and University of Florence. He has taught courses in differential equations, measure and probability and the theory of Markov processes, and he is the author of more than twenty research publications.

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Marek Capinski, Ekkehard Kopp, Janusz Traple
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2012)
ISBN 10: 0521175739 ISBN 13: 9780521175739
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2012. Paperback. Estado de conservación: New. Language: English . Brand New Book. 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 Ito 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 Ito 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 Ito 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. Nº de ref. de la librería AAA9780521175739

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Descripción 2012. PAP. Estado de conservación: New. New Book. Shipped from US within 10 to 14 business days. Established seller since 2000. Nº de ref. de la librería VM-9780521175739

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Marek Capinski, Ekkehard Kopp, Janusz Traple
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2012. Paperback. Estado de conservación: New. Language: English . Brand New Book. 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 Ito 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 Ito 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 Ito 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. Nº de ref. de la librería AAA9780521175739

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Descripción Cambridge University Press, 2012. PAP. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería FM-9780521175739

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Descripción 2012. PAP. Estado de conservación: New. New Book.Shipped from US within 10 to 14 business days. Established seller since 2000. Nº de ref. de la librería IB-9780521175739

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Descripción Cambridge Univ Pr, 2012. Paperback. Estado de conservación: Brand New. 1st edition. 192 pages. 8.82x0.55x5.98 inches. In Stock. Nº de ref. de la librería __0521175739

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Marek Capinski, Ekkehard Kopp, Janusz Traple
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2012. Paperback. Estado de conservación: New. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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 Ito 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 Ito 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 Ito 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. Nº de ref. de la librería BTE9780521175739

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MAREK CAPIÅ„SKI , EKKEHARD KOPP , JANUSZ TRAPLE
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Descripción 2012. Paperback. Estado de conservación: NEW. 9780521175739 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE0449842

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Descripción Cambridge University Press 2012-08-23, Cambridge, 2012. paperback. Estado de conservación: New. Nº de ref. de la librería 9780521175739

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