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Stochastic Calculus for Finance II

Continuous-Time Models

Medium: Buch
ISBN: 978-1-4419-2311-0
Verlag: Springer
Erscheinungstermin: 01.12.2010
Lieferfrist: bis zu 10 Tage

Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.

This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.

Master's level studentsand researchers in mathematical finance and financial engineering will find this book useful.


Produkteigenschaften


  • Artikelnummer: 9781441923110
  • Medium: Buch
  • ISBN: 978-1-4419-2311-0
  • Verlag: Springer
  • Erscheinungstermin: 01.12.2010
  • Sprache(n): Englisch
  • Auflage: 1. Auflage 2004. Corr. 2. printing. Softcover version of original hardcover Auflage 2004
  • Serie: Springer Finance Textbooks
  • Produktform: Kartoniert, Previously published in hardcover
  • Gewicht: 1750 g
  • Seiten: 550
  • Format (B x H x T): 155 x 235 x 31 mm
  • Ausgabetyp: Kein, Unbekannt
Autoren/Hrsg.

Autoren

1 General Probability Theory.- 2 Information and Conditioning.- 3 Brownian Motion.- 4 Stochastic Calculus.- 5 Risk-Neutral Pricing.- 6 Connections with Partial Differential Equations.- 7 Exotic Options.- 8 American Derivative Securities.- 9 Change of Numéraire.- 10 Term-Structure Models.- 11 Introduction to Jump Processes.- A Advanced Topics in Probability Theory.- A.1 Countable Additivity.- A.3 Random Variable with Neither Density nor Probability Mass Function.- B Existence of Conditional Expectations.- C Completion of the Proof of the Second Fundamental Theorem of Asset Pricing.- References.