Idioma/Language: Ingl�s. Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, Introduction to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. New to the Second Edition Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets Discussions on local volatility, Dupire's formula, the change of num� raire techniques, forward measures, and the forward Libor model A new chapter on credit risk modeling An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies Additional exercises and problems Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world. *** Nota: Los env�os a Espa�a peninsular, Baleares y Canarias se realizan a trav�s de mensajer�a urgente. No aceptamos pedidos con destino a Ceuta y Melilla.

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Detalles bibliogr�ficos

T�tulo

Introduction to Stochastic Calculus Applied to Finance

Editor

Chapman & Hall/CRC Taylor & Francis Group.

Fecha de publicaci�n

2023

Idioma

Ingl�s

ISBN 10

1032477814

ISBN 13

9781032477817

Encuadernaci�n

Encuadernaci�n de tapa blanda

Edici�n

2� Edici�n

Estado

New

Cat�logos de vendedores

Acerca de

Sinopsis

Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, Introduction to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field.

New to the Second Edition

Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets

Discussions on local volatility, Dupire's formula, the change of num�raire techniques, forward measures, and the forward Libor model

A new chapter on credit risk modeling

An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies

Additional exercises and problems

Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world.

Acerca del autor

Lamberton, Damien; Lapeyre, Bernard

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