Introduction to Stochastic Calculus Applied to Finance
2nd Edition
Published on 14. December 2011
254 pages
978-1-040-06479-5 (ISBN)
Description
Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. 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 as well as a new chapter on credit risk modeling. It contains many numerical experiments and real-world examples taken from the authors' own experiences. The book also provides all of the necessary stochastic calculus theory and implements some of the algorithms using SciLab. Key topics covered include martingales, arbitrage, option pricing, and the Black-Scholes model.
Reviews / Votes
The second edition of this book provides a concise and accessible introduction to the probabilistic techniques needed to understand the most widely used financial models. This edition incorporates many new techniques and concepts to be used to describe the behavior of financial markets. ... the solutions obtained using SciLab for computer experiments are available at http://cermics.enpc.fr/~bl/scilab/ These experiments were well designed by the authors based on their teaching and research experience and were found to be effective in communicating these concepts and ideas and enhancing the understanding of readers. ... a solid introduction to stochastic approaches used in the financial world. The authors cover many key finance topics ... . The book can be used as a reference text by researchers and graduate students in financial mathematics. It also is ideal reading material for practicing financial analysts and consultants using mathematical models for finance.-Technometrics, May 2009, Vol. 51, No. 2
More details
Series
Edition
2nd edition
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
College/higher education
ISBN-13
978-1-040-06479-5 (9781040064795)
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
Additional editions
Damien Lamberton | Bernard Lapeyre
Introduction to Stochastic Calculus Applied to Finance
Book
01/2023
2nd Edition
Chapman & Hall/CRC
€78.17
Shipment within 10-20 days
Damien Lamberton | Bernard Lapeyre
Introduction to Stochastic Calculus Applied to Finance
Book
11/2007
2nd Edition
Chapman & Hall/CRC
€132.50
Shipment within 15-20 days
Persons
Lamberton, Damien; Lapeyre, Bernard
Content
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.
