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Marek Capinski - Stochastic Calculus for Finance - 9780521175739 - V9780521175739
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Stochastic Calculus for Finance

€ 57.23
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Description for Stochastic Calculus for Finance Paperback. This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition. Series: Mastering Mathematical Finance. Num Pages: 186 pages, 6 b/w illus. 85 exercises. BIC Classification: KFF; PBW. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 228 x 152 x 13. Weight in Grams: 314. Series: Mastering Mathematical Finance. 186 pages, 6 b/w illus. 85 exercises. Introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition. Cateogry: (P) Professional & Vocational; (U) Tertiary Education (US: College). BIC Classification: KFF; PBW. Dimension: 228 x 152 x 13. Weight: 314.
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 ... Read more

Product Details

Format
Paperback
Publication date
2012
Publisher
Cambridge University Press
Number of pages
186
Condition
New
Series
Mastering Mathematical Finance
Number of Pages
186
Place of Publication
Cambridge, United Kingdom
ISBN
9780521175739
SKU
V9780521175739
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-2

About Marek Capinski
Marek Capiński has published over fifty research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over thirty-five years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in ... Read more

Reviews for Stochastic Calculus for Finance
'… a very accessible and comprehensive introduction.' Robert Stelzer, Mathematical Reviews

Goodreads reviews for Stochastic Calculus for Finance


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