Damien Lamberton,BernardLapeyre
Introduction to Stochastic Calculus Applied to Finance
Introduction to Stochastic Calculus Applied to Finance
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- More about Introduction to Stochastic Calculus Applied to Finance
The second edition of Introduction to Stochastic Calculus Applied to Finance is an accessible, up-to-date initiation to the field, incorporating new techniques and concepts such as discrete models, local volatility, Dupire's formula, forward measures, and credit risk modeling. It also includes additional exercises and problems.
Format: Paperback / softback
Length: 254 pages
Publication date: 21 January 2023
Publisher: Taylor & Francis Ltd
Since the publication of the first edition of this book, the area of mathematical finance has experienced a remarkable expansion, with financial analysts employing increasingly sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. In order to maintain the lucid style that made its popular predecessor, Introduction to Stochastic Calculus Applied to Finance, a widely adopted text, approachable and up-to-date, the Second Edition incorporates some of these new techniques and concepts.
New to the Second Edition:
Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets
Discussions on local volatility, Dupire's formula, the change of numéraire techniques, forward measures, and the forward Libor model
A new chapter on credit risk modeling
An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies
Additional exercises and problems
Providing all of the necessary stochastic calculus theory, the authors cover a wide range of key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. Their efforts result in a solid introduction to stochastic approaches used in the financial world.
Weight: 392g
Dimension: 154 x 234 x 18 (mm)
ISBN-13: 9781032477817
Edition number: 2 ed
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