Stochastic calculus for finance:
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 develo...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2012
|
| Schriftenreihe: | Mastering mathematical finance
|
| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (vii, 177 pages) |
| ISBN: | 9781139017367 |
| DOI: | 10.1017/CBO9781139017367 |
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Datensatz im Suchindex
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| author | Capiński, Marek 1951- |
| author_facet | Capiński, Marek 1951- |
| author_role | aut |
| author_sort | Capiński, Marek 1951- |
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| building | Verbundindex |
| bvnumber | BV043940961 |
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| collection | ZDB-20-CBO |
| ctrlnum | (ZDB-20-CBO)CR9781139017367 (OCoLC)852516142 (DE-599)BVBBV043940961 |
| dewey-full | 332.01/51922 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/51922 |
| dewey-search | 332.01/51922 |
| dewey-sort | 3332.01 551922 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9781139017367 |
| format | Electronic eBook |
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| id | DE-604.BV043940961 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:14Z |
| institution | BVB |
| isbn | 9781139017367 |
| language | English |
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| owner_facet | DE-12 DE-92 |
| physical | 1 online resource (vii, 177 pages) |
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| publishDate | 2012 |
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| publisher | Cambridge University Press |
| record_format | marc |
| series2 | Mastering mathematical finance |
| spelling | Capiński, Marek 1951- Verfasser aut Stochastic calculus for finance Marek Capiński, Ekkehard Kopp, Janusz Traple Cambridge Cambridge University Press 2012 1 online resource (vii, 177 pages) txt rdacontent c rdamedia cr rdacarrier Mastering mathematical finance Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 Mathematisches Modell Finance / Mathematical models Stochastic processes Options (Finance) / Mathematical models Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Wiener-Prozess (DE-588)4189870-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Stochastisches Modell (DE-588)4057633-4 s Wiener-Prozess (DE-588)4189870-9 s 1\p DE-604 Kopp, P. E. 1944- Sonstige oth Traple, Janusz Sonstige oth Erscheint auch als Druckausgabe 978-0-521-17573-9 Erscheint auch als Druckausgabe 978-1-107-00264-7 https://doi.org/10.1017/CBO9781139017367 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Capiński, Marek 1951- Stochastic calculus for finance Mathematisches Modell Finance / Mathematical models Stochastic processes Options (Finance) / Mathematical models Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd Wiener-Prozess (DE-588)4189870-9 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4017195-4 (DE-588)4189870-9 |
| title | Stochastic calculus for finance |
| title_auth | Stochastic calculus for finance |
| title_exact_search | Stochastic calculus for finance |
| title_full | Stochastic calculus for finance Marek Capiński, Ekkehard Kopp, Janusz Traple |
| title_fullStr | Stochastic calculus for finance Marek Capiński, Ekkehard Kopp, Janusz Traple |
| title_full_unstemmed | Stochastic calculus for finance Marek Capiński, Ekkehard Kopp, Janusz Traple |
| title_short | Stochastic calculus for finance |
| title_sort | stochastic calculus for finance |
| topic | Mathematisches Modell Finance / Mathematical models Stochastic processes Options (Finance) / Mathematical models Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd Wiener-Prozess (DE-588)4189870-9 gnd |
| topic_facet | Mathematisches Modell Finance / Mathematical models Stochastic processes Options (Finance) / Mathematical models Stochastisches Modell Finanzmathematik Wiener-Prozess |
| url | https://doi.org/10.1017/CBO9781139017367 |
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