Essentials Of Stochastic Finance

Author : Albert N. Shiryaev
Publisher : World Scientific
ISBN 13 : 9810236050
Total Pages : 852 pages
Book Rating : 4.52/5 ( download)

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Download or read book Essentials of Stochastic Finance written by Albert N. Shiryaev and published by World Scientific. This book was released on 1999 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.

Author : Richard Durrett
Publisher : Springer
ISBN 13 : 3319456148
Total Pages : 282 pages
Book Rating : 4.40/5 ( download)

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Download or read book Essentials of Stochastic Processes written by Richard Durrett and published by Springer. This book was released on 2016-11-07 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

Author : Alʹbert Nikolaevich Shiri͡aev
Publisher :
ISBN 13 :
Total Pages : 834 pages
Book Rating : 4.44/5 ( download)

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Download or read book Essentials of Stochastic Finance written by Alʹbert Nikolaevich Shiri͡aev and published by . This book was released on 1999 with total page 834 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Fima C. Klebaner
Publisher : Imperial College Press
ISBN 13 : 1860945554
Total Pages : 431 pages
Book Rating : 4.57/5 ( download)

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Download or read book Introduction to Stochastic Calculus with Applications written by Fima C. Klebaner and published by Imperial College Press. This book was released on 2005 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author :
Publisher :
ISBN 13 : 9780000991010
Total Pages : 0 pages
Book Rating : 4.15/5 ( download)

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Download or read book Essentials Stochastic Finance Facts Mo written by and published by . This book was released on 1999-01-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Jia-An Yan
Publisher : Springer
ISBN 13 : 9811316570
Total Pages : 403 pages
Book Rating : 4.79/5 ( download)

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Download or read book Introduction to Stochastic Finance written by Jia-An Yan and published by Springer. This book was released on 2018-10-10 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.

Author : J. Michael Steele
Publisher : Springer Science & Business Media
ISBN 13 : 1468493051
Total Pages : 303 pages
Book Rating : 4.54/5 ( download)

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Download or read book Stochastic Calculus and Financial Applications written by J. Michael Steele and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Author : Marek Capiński
Publisher : Cambridge University Press
ISBN 13 : 1107002648
Total Pages : 187 pages
Book Rating : 4.47/5 ( download)

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Download or read book Stochastic Calculus for Finance written by Marek Capiński and published by Cambridge University Press. This book was released on 2012-08-23 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.

Author : Steven Shreve
Publisher : Springer Science & Business Media
ISBN 13 : 9780387249681
Total Pages : 212 pages
Book Rating : 4.80/5 ( download)

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Download or read book Stochastic Calculus for Finance I written by Steven Shreve and published by Springer Science & Business Media. This book was released on 2005-06-28 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Author : Ludger Rüschendorf
Publisher : Springer Nature
ISBN 13 : 3662647117
Total Pages : 310 pages
Book Rating : 4.10/5 ( download)

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Download or read book Stochastic Processes and Financial Mathematics written by Ludger Rüschendorf and published by Springer Nature. This book was released on 2023-04-04 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered. Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models. The basic construction of the stochastic integral and the associated martingale theory provide fundamental methods of the theory of stochastic processes for the construction of suitable stochastic models of financial mathematics, e.g. using stochastic differential equations. Central results of stochastic analysis such as the Itô formula, Girsanov's theorem and martingale representation theorems are of fundamental importance in financial mathematics, e.g. for the risk-neutral valuation formula (Black-Scholes formula) or the question of the hedgeability of options and the completeness of market models. Chapters on the valuation of options in complete and incomplete markets and on the determination of optimal hedging strategies conclude the range of topics. Advanced knowledge of probability theory is assumed, in particular of discrete-time processes (martingales, Markov chains) and continuous-time processes (Brownian motion, Lévy processes, processes with independent increments, Markov processes). The book is thus suitable for advanced students as a companion reading and for instructors as a basis for their own courses. This book is a translation of the original German 1st edition Stochastische Prozesse und Finanzmathematik by Ludger Rüschendorf, published by Springer-Verlag GmbH Germany, part of Springer Nature in 2020. The translation was done with the help of artificial intelligence (machine translation by the service DeepL.com) and in a subsequent editing, improved by the author. Springer Nature works continuously to further the development of tools for the production of books and on the related technologies to support the authors.