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(Ebook) Introduction to Stochastic Calculus Applied to Finance, Second Edition by Lamberton, Damien; Lapeyre, Bernard ISBN 9781420009941, 142000994X

  • SKU: EBN-5145284
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Instant download (eBook) Introduction to Stochastic Calculus Applied to Finance, Second Edition after payment.
Authors:Lamberton, Damien; Lapeyre, Bernard
Pages:253 pages.
Year:2011
Editon:2nd ed
Publisher:CRC Press
Language:english
File Size:2.4 MB
Format:pdf
ISBNS:9781420009941, 142000994X
Categories: Ebooks

Product desciption

(Ebook) Introduction to Stochastic Calculus Applied to Finance, Second Edition by Lamberton, Damien; Lapeyre, Bernard ISBN 9781420009941, 142000994X

INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope and Markov chains Application to American options BROWNIAN MOTION AND STOCHASTIC DIFFERENTIAL EQUATIONS General comments on continuous-time processesBrownian motion Continuous-time martingales Stochastic integral and Itô calculus Stochastic differential equations THE BLACK-SCHOLES MODEL Description. Abstract: Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance topics, including a chapter dedicated to credit risk modeling.
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