Stochastic Calculus for Finance. Volume 2, Continuous-Time Models
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- Nombre de pages550
- PrésentationRelié
- FormatGrand Format
- Poids1.015 kg
- Dimensions16,0 cm × 24,0 cm × 3,5 cm
- ISBN0-387-40101-6
- EAN9780387401010
- Date de parution01/01/2004
- CollectionSpringer Finance
- ÉditeurSpringer
Résumé
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance.The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refined through classroom experience with this material are provided.The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties.
Advanced topics include foreign exchange models,forward measures,and jump-diffusion processes.
Advanced topics include foreign exchange models,forward measures,and jump-diffusion processes.
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance.The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refined through classroom experience with this material are provided.The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties.
Advanced topics include foreign exchange models,forward measures,and jump-diffusion processes.
Advanced topics include foreign exchange models,forward measures,and jump-diffusion processes.
