Continuous Stochastic Calculus with Applications to Finance - Info and Reading Options
By Michael Meyer
"Continuous Stochastic Calculus with Applications to Finance" was published by Chapman & Hall/CRC in 2001 - Boca Raton, FL, the book is classified in Mathematics genre, it has 319 pages and the language of the book is English.
“Continuous Stochastic Calculus with Applications to Finance” Metadata:
- Title: ➤ Continuous Stochastic Calculus with Applications to Finance
- Author: Michael Meyer
- Language: English
- Number of Pages: 319
- Is Family Friendly: Yes - No Mature Content
- Publisher: Chapman & Hall/CRC
- Publish Date: 2001
- Publish Location: Boca Raton, FL
- Genres: Mathematics
- Dewey Decimal Classification: 332/.01/5118
- Library of Congress Classification: HG173 .M49 2001HG173.M49 2001HG173 .M49 2001eb
“Continuous Stochastic Calculus with Applications to Finance” Subjects and Themes:
- Subjects: ➤ Mathematical models - Stochastic analysis - Finance - Finance, mathematical models - Finances - Modèles mathématiques - Analyse stochastique - BUSINESS & ECONOMICS - Finanzmathematik - Stochastik - Wahrscheinlichkeitsrechnung - Stochastische analyse - Financiering - Wiskundige modellen - Martingalen - Stochastische integratie
Edition Specifications:
- Pagination: xvi, 319 p. ;
Edition Identifiers:
- Google Books ID: 3LI0nwEACAAJ
- The Open Library ID: OL18310001M - OL2290901W
- Online Computer Library Center (OCLC) ID: 71304214 - 44927108
- Library of Congress Control Number (LCCN): 00064361
- ISBN-13: 9781584882343
- ISBN-10: 1584882344
- All ISBNs: 1584882344 - 9781584882343
AI-generated Review of “Continuous Stochastic Calculus with Applications to Finance”:
Snippets and Summary:
This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities.
Preliminaries. Let (F, P) be a probability space, R = [-, +] denote the extended real line and B(R) and B (Rn) the Borel o-fields on R and Rn respectively.
"Continuous Stochastic Calculus with Applications to Finance" Description:
The Open Library:
"This text provides a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand the construction of the stochastic integral with respect to a general continuous semimartingale."--BOOK JACKET.
Google Books:
The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale. The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives. Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.
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