Stochastic Calculus Of Variations And Financial Economics
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Stochastic Calculus Of Variations And Financial Economics
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Author :
language : en
Publisher:
Release Date : 1993
Stochastic Calculus Of Variations And Financial Economics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
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
Aspects Of Mathematical Finance
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Author : Marc Yor
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-02-13
Aspects Of Mathematical Finance written by Marc Yor 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 2008-02-13 with Mathematics categories.
This collection of essays is based on lectures given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance. The collection develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes. The book also features a description of the trainings of French financial analysts.
Applications Of Stochastic Calculus And Partial Differential Equations In Financial Economics
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Author : Tiberiu Florin Tomita
language : en
Publisher:
Release Date : 2003
Applications Of Stochastic Calculus And Partial Differential Equations In Financial Economics written by Tiberiu Florin Tomita and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
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 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.
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.
Introduction To Stochastic Calculus Applied To Finance Second Edition
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Author : Damien Lamberton
language : en
Publisher: CRC Press
Release Date : 1996-06-01
Introduction To Stochastic Calculus Applied To Finance Second Edition written by Damien Lamberton and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-06-01 with Mathematics categories.
In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.
Stochastic Methods In Economics And Finance
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Author : A.G. Malliaris
language : en
Publisher: North Holland
Release Date : 1982
Stochastic Methods In Economics And Finance written by A.G. Malliaris and has been published by North Holland this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Business & Economics categories.
Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Itô's Lemma as a tool of stochastic calculus, and basic facts about stochastic differential equations. The notion of stochastic ability and the methods of stochastic control are discussed, and their use in economic theory and finance is illustrated with numerous applications. The applications covered include: futures, pricing, job search, stochastic capital theory, stochastic economic growth, the rational expectations hypothesis, a stochastic macroeconomic model, competitive firm under price uncertainty, the Black-Scholes option pricing theory, optimum consumption and portfolio rules, demand for index bonds, term structure of interest rates, the market risk adjustment in project valuation, demand for cash balances and an asset pricing model.