Stochastic Finance
An Introduction with Market Examples
1st Edition
Published on 20. December 2013
Book
Hardback
442 pages
978-1-4665-9402-9 (ISBN)
Description
Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets.
The book discusses a wide range of classical topics including Black-Scholes pricing, exotic and American options, term structure modeling and change of numeraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading.
With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.
The book discusses a wide range of classical topics including Black-Scholes pricing, exotic and American options, term structure modeling and change of numeraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading.
With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.
Reviews / Votes
"... a well-written book that manages to cover a wide range of topics in mathematical finance in a condensed way. ... This is clearly something that lets the book stand out among other books on the subject. Another good feature of the book is that it provides a plethora of exercises at the end of each chapter. They are carefully chosen to practice the new concepts that were just introduced. ... The book is aimed at advanced undergraduate or graduate students in applied mathematics, financial engineering, and economics. The level of the book is appropriate for the targeted audience. The concept of derivatives and their pricing is introduced well. ... a useful book for getting a good overview about important concept in stochastic finance."-Journal of the American Statistical Association, March 2015
"This book gives an introduction to pricing and hedging in financial models for advanced undergraduate and graduate study in applied mathematics, financial engineering, and economics. It is written in a pedagogical tone, with an emphasis on complementarity between analytical and probabilistic methods. But the book is also a valuable reference for both academics and practitioners. ... This book is written very well. ... The textbook is successful in explaining difficult things plainly. ... any reader of this book can acquire a more refined knowledge of option pricing and hedging strategies by computation of fair prices."
-Mathematical Reviews, 2015
"... an elementary introduction to contemporary stochastic finance. ... the theory is illustrated by numerical illustrations, including a large number of examples using actual market data."
-Zentralblatt Math 1294
More details
Series
Language
English
Place of publication
Bosa Roca
United States
Publishing group
Taylor & Francis Inc
Target group
College/higher education
Senior undergraduate and graduate students in mathematics, statistics, financial engineering, and economics.
Illustrations
104 s/w Abbildungen
104 Illustrations, black and white
Dimensions
Height: 234 mm
Width: 156 mm
Weight
980 gr
ISBN-13
978-1-4665-9402-9 (9781466594029)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Nicolas Privault
Introduction to Stochastic Finance with Market Examples
Book
12/2022
2nd Edition
Chapman & Hall/CRC
€129.50
Shipment within 10-20 days
Person
Content
Assets, Portfolios, and Arbitrage, Discrete-Time Model. Pricing and Hedging in Discrete Time. Brownian Motion and Stochastic Calculus. The Black-Scholes PDE. Martingale Approach to Pricing and Hedging. Estimation of Volatility. Exotic Options. American Options. Change of Numeraire and Forward Measures. Forward Rate Modeling. Pricing of Interest Rate Derivatives. Credit Default. Stochastic Calculus for Jump Processes. Pricing and Hedging in Jump Models. Basic Numerical Methods. Appendix. Exercise Solutions. References. Index.