Marek Capinski

Stochastic Calculus for Finance (eBook, PDF)

• Format: PDF

Produktbeschreibung

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 Ito 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 Ito 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 Ito 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.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 23. August 2012
• Englisch
• ISBN-13: 9781139557955
• Artikelnr.: 38449761

Autorenporträt

Marek Capi¿ski has published over fifty research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over thirty-five years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow, where he established a Master's programme in mathematical finance.

Inhaltsangabe

Preface
1. Discrete time processes
2. Wiener process
3. Stochastic integrals
4. Itô formula
5. Stochastic differential equations
Index.