Stochastic Calculus for Finance
(Part of the Mastering Mathematical Finance Series)
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Book Overview
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 It 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 It 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 It 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.
Format:Paperback
Language:English
ISBN:0521175739
ISBN13:9780521175739
Release Date:October 2012
Publisher:Cambridge University Press
Length:186 Pages
Weight:0.70 lbs.
Dimensions:0.5" x 5.9" x 8.9"
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