Introduction to Stochastic Calculus Applied to Finance - Couverture souple

Lapeyre, Bernard; Lamberton, Damien

9781032477817: Introduction to Stochastic Calculus Applied to Finance

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ISBN 10 : 1032477814 ISBN 13 : 9781032477817

Editeur : Chapman and Hall/CRC, 2023

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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 to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field.

New to the Second Edition

Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets

Discussions on local volatility, Dupire's formula, the change of num�raire techniques, forward measures, and the forward Libor model

A new chapter on credit risk modeling

An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies

Additional exercises and problems

Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world.

Les informations fournies dans la section � Synopsis � peuvent faire r�f�rence � une autre �dition de ce titre.

� propos de l?auteur

Lamberton, Damien; Lapeyre, Bernard

Les informations fournies dans la section � A propos du livre � peuvent faire r�f�rence � une autre �dition de ce titre.

�diteur: Chapman and Hall/CRC
Date d'�dition: 2023
Langue: anglais
ISBN 10: 1032477814
ISBN 13: 9781032477817
Reliure: Broch�
Num�ro d'�dition: 2
Nombre de pages: 254
Coordonn�es du fabricant: non disponible
Personne responsable: non disponible

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Introduction to Stochastic Calculus Applied to Finance

Damien Lamberton; Bernard Lapeyre

Edit� par Chapman & Hall/CRC Taylor & Francis Group., 2023

ISBN 10 : 1032477814 ISBN 13 : 9781032477817

Neuf Couverture souple

Vendeur : Agapea Libros, Malaga, MA, Espagne

�valuation du vendeur 5 sur 5 �toiles

Etat : New. Idioma/Language: Ingl�s. 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 to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. New to the Second Edition Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets Discussions on local volatility, Dupire's formula, the change of num� raire techniques, forward measures, and the forward Libor model A new chapter on credit risk modeling An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies Additional exercises and problems Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world. *** Nota: Los env�os a Espa�a peninsular, Baleares y Canarias se realizan a trav�s de mensajer�a urgente. No aceptamos pedidos con destino a Ceuta y Melilla. N� de r�f. du vendeur 23345289

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Introduction to Stochastic Calculus Applied to Finance

Damien Lamberton

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ISBN 10 : 1032477814 ISBN 13 : 9781032477817

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Introduction to Stochastic Calculus Applied to Finance

Bernard Lapeyre

Edit� par Taylor & Francis Ltd Jan 2023, 2023

ISBN 10 : 1032477814 ISBN 13 : 9781032477817

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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. New to the Second EditionComplements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete marketsDiscussions on local volatility, Dupire's formula, the change of num�raire techniques, forward measures, and the forward Libor model A new chapter on credit risk modelingAn extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategiesAdditional exercises and problemsProviding all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world. 254 pp. Englisch. N� de r�f. du vendeur 9781032477817

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Introduction to Stochastic Calculus Applied to Finance

Lapeyre, Bernard; Lamberton, Damien

Edit� par Chapman and Hall/CRC, 2023

ISBN 10 : 1032477814 ISBN 13 : 9781032477817

Neuf Couverture souple

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Introduction to Stochastic Calculus Applied to Finance

Damien Lamberton (Universit� de Marne-la-Vall�e, France)|Bernard Lapeyre (�cole Nationale des Ponts et Chauss�es, Marne-la-Vall�e, France)

Edit� par CRC Press, 2023

ISBN 10 : 1032477814 ISBN 13 : 9781032477817

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Etat : New. Lamberton, Damien Lapeyre, BernardSince 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. N� de r�f. du vendeur 801266729

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Introduction to Stochastic Calculus Applied to Finance

Bernard Lapeyre

Edit� par Taylor & Francis Ltd, 2023

ISBN 10 : 1032477814 ISBN 13 : 9781032477817

Neuf Taschenbuch

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Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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 to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. New to the Second EditionComplements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete marketsDiscussions on local volatility, Dupire's formula, the change of num�raire techniques, forward measures, and the forward Libor model A new chapter on credit risk modelingAn extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategiesAdditional exercises and problemsProviding all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world. N� de r�f. du vendeur 9781032477817

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