Introduction to Stochastic Calculus with Applications PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Introduction to Stochastic Calculus with Applications PDF full book. Access full book title Introduction to Stochastic Calculus with Applications by Fima C. Klebaner. Download full books in PDF and EPUB format.
Author: Fima C. Klebaner
Publisher: Imperial College Press
ISBN: 1860945554
Category : Mathematics
Languages : en
Pages : 431
Get Book
Book Description
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Author: Fima C. Klebaner
Publisher: Imperial College Press
ISBN: 1860945554
Category : Mathematics
Languages : en
Pages : 431
Get Book
Book Description
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Author: Paul Malliavin
Publisher: Springer Science & Business Media
ISBN: 3540307990
Category : Business & Economics
Languages : en
Pages : 148
Get Book
Book Description
Highly esteemed author Topics covered are relevant and timely
Author: Alexander A Gushchin
Publisher: Elsevier
ISBN: 0081004761
Category : Mathematics
Languages : en
Pages : 208
Get Book
Book Description
In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations. Contains the most popular applications of the theory of stochastic integration Details necessary facts from probability and analysis which are not included in many standard university courses such as theorems on monotone classes and uniform integrability Written by experts in the field of modern mathematical finance
Author: Steven Shreve
Publisher: Springer Science & Business Media
ISBN: 9780387249681
Category : Mathematics
Languages : en
Pages : 212
Get Book
Book Description
Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance
Author: J. Michael Steele
Publisher: Springer Science & Business Media
ISBN: 1468493051
Category : Mathematics
Languages : en
Pages : 303
Get Book
Book Description
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Author: Yu. Kabanov
Publisher: Springer Science & Business Media
ISBN: 3540307885
Category : Mathematics
Languages : en
Pages : 633
Get Book
Book Description
Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.
Author: Marek Capiński
Publisher: Cambridge University Press
ISBN: 1107002648
Category : Business & Economics
Languages : en
Pages : 187
Get Book
Book Description
This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.
Author: Dieter Sondermann
Publisher: Springer Science & Business Media
ISBN: 3540348379
Category : Business & Economics
Languages : en
Pages : 144
Get Book
Book Description
Although there are many textbooks on stochastic calculus applied to finance, this volume earns its place with a pedagogical approach. The text presents a quick (but by no means "dirty") road to the tools required for advanced finance in continuous time, including option pricing by martingale methods, term structure models in a HJM-framework and the Libor market model. The reader should be familiar with elementary real analysis and basic probability theory.
Author: Joseph L. McCauley
Publisher: Cambridge University Press
ISBN: 0521763401
Category : Business & Economics
Languages : en
Pages : 219
Get Book
Book Description
Provides graduate students and practitioners in physics and economics with a better understanding of stochastic processes.
Author: Ioannis Karatzas
Publisher: Springer
ISBN: 1493968459
Category : Mathematics
Languages : en
Pages : 415
Get Book
Book Description
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
