The Resource Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple
Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple
Resource Information
The item Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Extent
- 1 online resource (vii, 177 pages)
- Note
- Title from publisher's bibliographic system (viewed on 05 Oct 2015)
- Isbn
- 9781139017367
- Label
- Stochastic calculus for finance
- Title
- Stochastic calculus for finance
- Statement of responsibility
- Marek Capiński, Ekkehard Kopp, Janusz Traple
- 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
- 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
- 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
- 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
Library Links
Embed
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Stochastic-calculus-for-finance-Marek-Capi%C5%84ski/FqX3eEokAko/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Stochastic-calculus-for-finance-Marek-Capi%C5%84ski/FqX3eEokAko/">Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">Sydney Jones Library, University of Liverpool</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data - Experimental
Data Citation of the Item Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Stochastic-calculus-for-finance-Marek-Capi%C5%84ski/FqX3eEokAko/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Stochastic-calculus-for-finance-Marek-Capi%C5%84ski/FqX3eEokAko/">Stochastic calculus for finance, Marek Capiński, Ekkehard Kopp, Janusz Traple</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">Sydney Jones Library, University of Liverpool</a></span></span></span></span></div>
