From Stochastic Calculus To Mathematical Finance

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From Stochastic Calculus To Mathematical Finance

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Author : Yu. Kabanov
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-03

From Stochastic Calculus To Mathematical Finance written by Yu. Kabanov and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-03 with Mathematics categories.

Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.

From Stochastic Calculus To Mathematical Finance

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Author : Yu. Kabanov
language : en
Publisher: Springer
Release Date : 2009-09-02

From Stochastic Calculus To Mathematical Finance written by Yu. Kabanov and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-02 with Mathematics categories.

Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.

Stochastic Calculus For Finance I

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Author : Steven Shreve
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-06-28

Stochastic Calculus For Finance I written by Steven Shreve and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-06-28 with Mathematics categories.

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

Stochastic Calculus For Quantitative Finance

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Author : Alexander A Gushchin
language : en
Publisher: Elsevier
Release Date : 2015-08-26

Stochastic Calculus For Quantitative Finance written by Alexander A Gushchin and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-26 with Mathematics categories.

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations. - Contains the most popular applications of the theory of stochastic integration - Details necessary facts from probability and analysis which are not included in many standard university courses such as theorems on monotone classes and uniform integrability - Written by experts in the field of modern mathematical finance

Stochastic Calculus Of Variations In Mathematical Finance

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Author : Paul Malliavin
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-02-25

Stochastic Calculus Of Variations In Mathematical Finance written by Paul Malliavin and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-02-25 with Business & Economics categories.

Highly esteemed author Topics covered are relevant and timely

Stochastic Calculus And Financial Applications

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Author : J. Michael Steele
language : en
Publisher: Springer Science & Business Media
Release Date : 2001

Stochastic Calculus And Financial Applications written by J. Michael Steele and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH

Problems And Solutions In Mathematical Finance Volume 1

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Author : Eric Chin
language : en
Publisher: John Wiley & Sons
Release Date : 2014-11-10

Problems And Solutions In Mathematical Finance Volume 1 written by Eric Chin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-10 with Business & Economics categories.

Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four-volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.

Mathematical Finance

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Author : Ernst Eberlein
language : en
Publisher: Springer Nature
Release Date : 2019-12-03

Mathematical Finance written by Ernst Eberlein and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-03 with Mathematics categories.

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Stochastic Calculus For Finance

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Author : Marek Capiński
language : en
Publisher:
Release Date : 2012

Stochastic Calculus For Finance written by Marek Capiński and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Finance categories.

Stochastic Calculus For Finance

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Author : Marek Capiński
language : en
Publisher: Cambridge University Press
Release Date : 2012-08-23

Stochastic Calculus For Finance written by Marek Capiński and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-23 with Business & Economics categories.

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.