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Introduction to Stochastic Calculus Applied to Finance
DOI link for Introduction to Stochastic Calculus Applied to Finance
Introduction to Stochastic Calculus Applied to Finance book
Introduction to Stochastic Calculus Applied to Finance
DOI link for Introduction to Stochastic Calculus Applied to Finance
Introduction to Stochastic Calculus Applied to Finance book
ByDamien Lamberton, Bernard Lapeyre
Edition 2nd Edition
First Published 2007
eBook Published 30 November 2007
Pub. Location New York
Imprint Chapman and Hall/CRC
Pages 254
eBook ISBN 9780429121081
Subjects Economics, Finance, Business & Industry, Mathematics & Statistics
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Lapeyre, B., & Lamberton, D. (2007). Introduction to Stochastic Calculus Applied to Finance (2nd ed.). Chapman and Hall/CRC. https://doi.org/10.1201/9781420009941
ABSTRACT
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
TABLE OF CONTENTS
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.
