2nd Edition
Introduction to Stochastic Calculus Applied to Finance
254 Pages
by
Chapman & Hall
254 Pages
by
Chapman & Hall
254 Pages
by
Chapman & Hall
Also available as eBook on:
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... Read more
Discrete-Time Models. Optimal Stopping Problem and American Options. Brownian Motion and Stochastic Differential Equations. The Black-Scholes Model. Option Pricing and Partial Differential Equations. Interest Rate Models. Asset Models with Jumps. Credit Risk Models. Simulation and Algorithms for Financial Models. Appendix. Bibliography. Index.
Biography
Lamberton, Damien; Lapeyre, Bernard
