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The Resource Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple

Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple

Label
Stochastic calculus for finance
Title
Stochastic calculus for finance
Statement of responsibility
Marek Capiński, Ekkehard Kopp, Janusz Traple
Creator
Contributor
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
UkCbUP
http://library.link/vocab/creatorDate
1951-
http://library.link/vocab/creatorName
Capiński, Marek
Dewey number
332.01/51922
Index
index present
LC call number
HG106
LC item number
.C364 2012
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorDate
1944-
http://library.link/vocab/relatedWorkOrContributorName
  • Kopp, P. E.
  • Traple, Janusz
Series statement
Mastering mathematical finance
http://library.link/vocab/subjectName
  • Finance
  • Stochastic processes
  • Options (Finance)
Label
Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple
Instantiates
Publication
Note
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
CR9781139017367
Extent
1 online resource (vii, 177 pages)
Form of item
online
Isbn
9781139017367
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
Label
Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple
Publication
Note
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
CR9781139017367
Extent
1 online resource (vii, 177 pages)
Form of item
online
Isbn
9781139017367
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote

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