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Stochastic Analysis for Finance with Simulations
Geon Ho Choe
€ 82.99
€ 52.78
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Description for Stochastic Analysis for Finance with Simulations
Paperback. .
This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black-Scholes-Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and ... Read more
This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black-Scholes-Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and ... Read more
Product Details
Publisher
Springer International Publishing AG
Format
Paperback
Publication date
2016
Series
Universitext
Condition
New
Number of Pages
657
Place of Publication
Cham, Switzerland
ISBN
9783319255873
SKU
V9783319255873
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-3
About Geon Ho Choe
The author's main interests are simulations of random phenomena in the areas of quantitative finance, random number generators, dynamical systems theory, and information theory. He has published a book titled Computational Ergodic Theory .
Reviews for Stochastic Analysis for Finance with Simulations
This excellent textbook is addressed to undergraduate and graduate students in mathematics and finance who want to study the main tools of stochastic calculus and its application to quantitative finance. Also, it can be used as a reference book for practitioners and professionals from the financial industry who want a better understanding of the theoretical aspects of stochastic calculus, and ... Read more