Written in a rigorous yet logical and easy to use style, spanning a
range of disciplines, including business, mathematics, finance and
economics, this comprehensive textbook offers a systematic,
self-sufficient yet concise presentation of the main topics and
related parts of Stochastic Analysis and statistical finance that
are covered in the majority of university programmes.
Providing all explanations of basic concepts and results with
proofs and numerous examples and problems, it includes:
- an introduction to probability theory
- a detailed study of discrete and continuous time market
models
- a comprehensive review of Ito calculus and statistical methods
as a basis for statistical estimation of models for pricing
- a detailed discussion of options and their pricing, including
American options in continuous time setting.
An excellent introduction to the topic, this textbook is an
essential resource for all students on undergraduate and
postgraduate courses and advanced degree programs in econometrics,
finance, applied mathematics and mathematical modelling as well as
academics and practitioners.
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