Introduction to Stochastic Calculus Applied to Finance
Produktdetaljer
Biografisk notat
Lamberton, Damien; Lapeyre, Bernard<p>The second edition of this book provides a concise and accessible introduction to the probabilistic techniques needed to understand the most widely used financial models. This edition incorporates many new techniques and concepts to be used to describe the behavior of financial markets. … the solutions obtained using SciLab for computer experiments are available at http://cermics.enpc.fr/~bl/scilab/ These experiments were well designed by the authors based on their teaching and research experience and were found to be effective in communicating these concepts and ideas and enhancing the understanding of readers. … a solid introduction to stochastic approaches used in the financial world. The authors cover many key finance topics … . The book can be used as a reference text by researchers and graduate students in financial mathematics. It also is ideal reading material for practicing financial analysts and consultants using mathematical models for finance.<br />—<em>Technometrics</em>, May 2009, Vol. 51, No. 2</p>
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
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.