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Stochastic Calculus for Finance (Hardcover, New)
Loot Price: R1,703
Discovery Miles 17 030
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Stochastic Calculus for Finance (Hardcover, New)
Series: Mastering Mathematical Finance
Expected to ship within 12 - 17 working days
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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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