Stochastic Analysis for Finance with Simulations
Published on 22. July 2016
Book
Paperback/Softback
XXXII, 657 pages
978-3-319-25587-3 (ISBN)
Description
The author's main interests are simulations of random phenomena in the areas of quantitative finance, random number generators, dynamical systems theory, and information theory. He has published a book titled "Computational Ergodic Theory".
Reviews / Votes
"This book gives an introduction to financial mathematics. It presents also some background of mathematical facts necessary for understanding modern finance. . For the reader convenience, the book contains a detailed contents, a list of figures, a list of tables, a list of simulations, a list of acronyms and a list of used symbols." (Jacek Jakubowski, zbMATH 1409.91002, 2019)
"This excellent textbook is addressed to undergraduate and graduate students in mathematics and finance who want to study the main tools of stochastic calculus and its application to quantitative finance. Also, it can be used as a reference book for practitioners and professionals from the financial industry who want a better understanding of the theoretical aspects of stochastic calculus, and how it can be used in the pricing of financial derivatives." (Carlos Vázquez Cendón, Mathematical Reviews, August, 2017)
More details
Series
Edition
1st ed. 2016
Language
English
Place of publication
Cham
Switzerland
Publishing group
Springer International Publishing
Target group
Primary & secondary/elementary & high school
Graduate
Illustrations
82 s/w Abbildungen, 107 farbige Abbildungen
XXXII, 657 p. 189 illus., 107 illus. in color.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 37 mm
Weight
1031 gr
ISBN-13
978-3-319-25587-3 (9783319255873)
DOI
10.1007/978-3-319-25589-7
Schweitzer Classification
Other editions
Additional editions
Geon Ho Choe
Stochastic Analysis for Finance with Simulations
E-Book
07/2016
Springer
€85.59
Available for download
Person
The author's main interests are simulations of random phenomena in the areas of quantitative finance, random number generators, dynamical systems theory, and information theory. He has published a book titled "Computational Ergodic Theory".
Content
Preface.- Acknowledgements.- List of Figures.- List of Tables.- List of Simulations.- Fundamental Concepts.- Financial Derivatives.- The Lebesgue Integral.- Basic Probability Theory.- Conditional Expectation.- Stochastic Processes.- Brownian Motion.- Girsanov's Theorem.- The Reflection Principle of Brownian Motion.- The Ito Integral.- The Ito Formula.- Stochastic Differential Equations.- The Feynmann-Kac Theorem.- The Binomial Tree Method for Option Pricing.- The Black-Scholes-Merton Differential Equation.- The Martingale Method.- Pricing of Vanilla Options.- Pricing of Exotic Options.- American Options.- The Capital Asset Pricing Model.- Dynamic Programming.- Bond Pricing.- Interest Rate Models.- Numeraires.- Numerical Estimation of Volatility.- Time Series.- Random Numbers.- The Monte Carlo Method for Option Pricing.- Numerical Solution of the Black-Scholes-Merton Equation.- Numerical Solution of Stochastic Differential Equations. Appendices.- Solutions for Selected Problems.- Glossary.- References.- Index.