Introduction to Stochastic Calculus Applied to Finance by Damien Lamberton
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Introduction to Stochastic Calculus Applied to Finance
By Damien Lamberton

Introduction to Stochastic Calculus Applied to Finance

2nd Revised edition

By (author) See other recent books by Damien Lamberton See other recent books by Bernard Lapeyre
Format: Hardback

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Introduction to Stochastic Calculus Applied to Finance by Damien Lamberton

Book Description

Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, Introduction to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. 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 numeraire 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 many 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. They succeed in producing a solid introduction to stochastic approaches used in the financial world.

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Book Details

ISBN: 9781584886266
ISBN-10: 1584886269
Format: Hardback
(234mm x 156mm x 20mm)
Pages: 254
Imprint: Chapman & Hall/CRC
Publisher: Taylor & Francis Inc
Publish Date: 30-Nov-2007
Country of Publication: United States

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