A Course in Financial Calculus - Couverture rigide

Etheridge, Alison

 
9780521813853: A Course in Financial Calculus
Couverture rigide
ISBN 10 : 0521813859 ISBN 13 : 9780521813853
Editeur : Cambridge University Press, 2002

Synopsis

Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions.

Revue de presse

' ... being relatively short and a paperback must make it appealing to students and those who need a quick introduction to the material. ... nicely produced and elegantly laid out. I would consider adopting it as a text for a course in this topic. Publication of the International Statistical Institute

'This is a well written textbook which should be suitable for final year undergraduate and first year graduate students having some background in probability theory.' Klaus Schrüger, Zentralblatt MATH

' ... this is a very well-organized text that makes it easy to learn.' Journal of the Royal Statistical Society

'... it was necessary to supply the framework of the book with some theory of stochastic analysis and to provide a mathematical explanation of the notions used.' EMS Newsletter

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
2002
Langue
anglais
ISBN 10 
0521813859
ISBN 13 
9780521813853
Reliure
Relié
Nombre de pages
206
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

chemin des peupliers 27
Dardilly
France

Autres éditions populaires du même titre

9780521890779: A Course in Financial Calculus

Edition présentée

ISBN 10 :  0521890772 ISBN 13 :  9780521890779
Editeur : Cambridge University Press, 2002
Couverture souple