Introduction to Stochastic Calculus Applied to Finance (Hardcover, 2nd edition)

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, Introduction to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. New to the Second Edition Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets Discussions on local volatility, Dupire's formula, the change of numeraire techniques, forward measures, and the forward Libor model A new chapter on credit risk modeling An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies Additional exercises and problems Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world.

General

Imprint:	Chapman & Hall/CRC
Country of origin:	United States
Series:	Chapman and Hall/CRC Financial Mathematics Series
Release date:	November 2007
First published:	October 2007
Authors:	Damien Lamberton • Bernard Lapeyre
Dimensions:	234 x 156 x 19mm (L x W x T)
Format:	Hardcover
Pages:	254
Edition:	2nd edition
ISBN-13:	978-1-58488-626-6
Categories:	Books > Business & Economics > Finance & accounting > Finance > General Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > General Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Books > Money & Finance > General
LSN:	1-58488-626-9
Barcode:	9781584886266

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