Stochastic Calculus for Finance (Paperback)
Language: English
Published by Cambridge University Press, Cambridge, 2012
- Softcover
- New
Seller: CitiRetail, Stevenage, United KingdomCitiRetail
AbeBooks seller since June 29, 2022
Condition: New
£ 50.49
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Add to basketItem description from seller
Paperback. 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 Ito integrals in some detail, with a focus on results needed for the BlackScholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Ito 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 Ito 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. This brief but full introduction to basic stochastic processes contains key results that have become essential for finance practitioners and provides a solid grounding for understanding the BlackScholes option pricing model. Students, practitioners and researchers will benefit from the authors' rigorous, but unfussy, approach to technical issues. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…
Seller Inventory # 9780521175739
- Title
- Stochastic Calculus for Finance (Paperback)
- Author
- Ekkehard Kopp
- Publisher
- Cambridge University Press, Cambridge
- Publication year
- 2012
- Condition
- new
- Binding
- Paperback
- Language
- English
- ISBN 10
- 0521175739
- ISBN 13
- 9780521175739
- Series
- Book 3 of 8: Mastering Mathematical Finance
"Synopsis" may belong to another edition of this title.
About the Author
Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998–2008) and the Cambridge University Press AIMS Library series. He has authored more than fifty research publications and five books.
Janusz Traple is Professor of Mathematics in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His former positions and visiting fellowships include the Jagiellonian University in Krakow, Scuola Normale in Pisa, University of Siena and University of Florence. He has taught courses in differential equations, measure and probability and the theory of Markov processes, and he is the author of more than twenty research publications.
"About the title" may belong to another edition of this title.
CitiRetail
Stevenage, United Kingdom
AbeBooks seller since June 29, 2022
Shipping rates from United Kingdom to U.S.A.
| Item | 7 to 14 business days | 7 to 60 business days |
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| First item | £ 37.00 | £ 37.00 |
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