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Stochastic Calculus for Finance
Engelsk
Bogcover for Stochastic Calculus for Finance af Marek Capinski, Janusz Traple, Ekkehard Kopp, 9780521175739
Specifikationer
Sprog:
Engelsk
Sider:
186
ISBN-13:
9780521175739
Indbinding:
Paperback
ISBN-10:
0521175739
Kategori:
Udg. Dato:
23 aug 2012
Størrelse i cm:
22,8 x 15,2 x 1,3
Oplagsdato:
23 aug 2012

Stochastic Calculus for Finance

Engelsk
Paperback 2012
Format:

Bog beskrivelse
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.
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Specifikationer
Sprog:
Engelsk
Sider:
186
ISBN-13:
9780521175739
Indbinding:
Paperback
ISBN-10:
0521175739
Kategori:
Udg. Dato:
23 aug 2012
Størrelse i cm:
22,8 x 15,2 x 1,3
Oplagsdato:
23 aug 2012
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