Description: Further DetailsTitle: Stochastic Calculus for FinanceCondition: NewFormat: PaperbackEAN: 9780521175739ISBN: 9780521175739Type: Investments & SecuritiesPublisher: Cambridge University PressRelease Date: 08/23/2012Description: This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Itô integrals in some detail, with a focus on results needed for the Black–Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Itô formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Itô calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.Language: EnglishCountry/Region of Manufacture: GBItem Height: 228mmItem Length: 152mmItem Width: 13mmItem Weight: 320gAuthor: Marek Capiński, Ekkehard Kopp, Janusz TrapleGenre: Business & FinanceTopic: Science Nature & MathBook Series: Mastering Mathematical FinanceRelease Year: 2012 Missing Information?Please contact us if any details are missing and where possible we will add the information to our listing.
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Book Title: Stochastic Calculus for Finance
Title: Stochastic Calculus for Finance
EAN: 9780521175739
ISBN: 9780521175739
Release Date: 08/23/2012
Release Year: 2012
Country/Region of Manufacture: GB
Genre: Business & Finance
Topic: Science Nature & Math
Number of Pages: 186 Pages
Language: English
Publication Name: Stochastic Calculus for Finance
Publisher: Cambridge University Press
Item Height: 0.5 in
Subject: Finance / General, Econometrics, Statistics
Publication Year: 2012
Item Weight: 11.3 Oz
Type: Textbook
Item Length: 9 in
Subject Area: Business & Economics
Author: Marek CapińSki, Janusz Traple, Ekkehard Kopp
Series: Mastering Mathematical Finance Ser.
Item Width: 6 in
Format: Trade Paperback