Damien Lamberton, Bernard Lapeyre

Introduction to Stochastic Calculus Applied to Finance

• Broschiertes Buch

Produktbeschreibung

Maintaining the lucid style of its popular predecessor, this concise and accessible introduction covers the probabilistic techniques required to understand the most widely used financial models. Along with additional exercises, this edition presents fully updated material on stochastic volatility models and option pricing.

Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Ltd
• 2 ed
• Seitenzahl: 254
• Erscheinungstermin: 21. Januar 2023
• Englisch
• Abmessung: 154mm x 234mm x 18mm
• Gewicht: 394g
• ISBN-13: 9781032477817
• ISBN-10: 1032477814
• Artikelnr.: 67400469

Autorenporträt

Lamberton, Damien; Lapeyre, Bernard

Inhaltsangabe

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.