Stochastic Calculus For Quantitative Finance
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Introduction To Stochastic Calculus With Applications
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Author : Fima C. Klebaner
language : en
Publisher: Imperial College Press
Release Date : 2005
Introduction To Stochastic Calculus With Applications written by Fima C. Klebaner and has been published by Imperial College Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Mathematics categories.
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Stochastic Calculus For Finance I
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Author : Steven Shreve
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-04-21
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 2004-04-21 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 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 And Financial Applications
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Author : J. Michael Steele
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
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 2012-12-06 with Mathematics categories.
This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic.
Financial Calculus
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Author : Martin Baxter
language : en
Publisher: Cambridge University Press
Release Date : 1996-09-19
Financial Calculus written by Martin Baxter 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 1996-09-19 with Business & Economics categories.
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
Stochastic Calculus And Applications
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Author : Samuel N. Cohen
language : en
Publisher: Birkhäuser
Release Date : 2015-11-18
Stochastic Calculus And Applications written by Samuel N. Cohen and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-18 with Mathematics categories.
Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)
Option Theory With Stochastic Analysis
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Author : Fred Espen Benth
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Option Theory With Stochastic Analysis written by Fred Espen Benth 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 2012-12-06 with Business & Economics categories.
This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.
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.
Problems And Solutions In Mathematical Finance
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Author : Eric Chin
language : en
Publisher: John Wiley & Sons
Release Date : 2014-11-20
Problems And Solutions In Mathematical Finance 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 2014-11-20 with Business & Economics categories.
Mathematical finance requires the use of advanced mathematicaltechniques drawn from the theory of probability, stochasticprocesses and stochastic differential equations. These areas aregenerally introduced and developed at an abstract level, making itproblematic when applying these techniques to practical issues infinance. Problems and Solutions in Mathematical Finance Volume I:Stochastic Calculus is the first of a four-volume set ofbooks focusing on problems and solutions in mathematicalfinance. This volume introduces the reader to the basic stochasticcalculus concepts required for the study of this important subject,providing a large number of worked examples which enable the readerto build the necessary foundation for more practical orientatedproblems in the later volumes. Through this application and byworking through the numerous examples, the reader will properlyunderstand and appreciate the fundamentals that underpinmathematical finance. Written mainly for students, industry practitioners and thoseinvolved in teaching in this field of study, StochasticCalculus provides a valuable reference book to complementone’s further understanding of mathematical 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