Format:
1 Online-Ressource (vii, 177 pages)
,
digital, PDF file(s)
ISBN:
9781139017367
Series Statement:
Mastering mathematical finance
Content:
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
Note:
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Additional Edition:
ISBN 9781107002647
Additional Edition:
ISBN 9780521175739
Additional Edition:
Erscheint auch als Druck-Ausgabe ISBN 9781107002647
Language:
English
DOI:
10.1017/CBO9781139017367
URL:
Volltext
(lizenzpflichtig)
