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Item Details
| Title:
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STOCHASTIC FINANCE
AN INTRODUCTION WITH MARKET EXAMPLES |
| By: |
Nicolas Privault |
| Format: |
Electronic book text |
| List price:
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£50.99 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
1466594047 |
| ISBN 13: |
9781466594043 |
| Publisher: |
TAYLOR & FRANCIS INC |
| Pub. date: |
9 January, 2014 |
| Series: |
Chapman and Hall/CRC Financial Mathematics Series |
| Pages: |
441 |
| Synopsis: |
Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black-Scholes pricing, exotic and American options, term structure modeling and change of numeraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading.With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics. |
| Illustrations: |
104 Illustrations, black and white |
| Publication: |
US |
| Imprint: |
Chapman & Hall/CRC |
| Returns: |
Non-returnable |
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