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Stochastic calculus for finance; Vol. II

By: Material type: TextTextSeries: Springer Finance SeriesPublication details: New York Springer Verlag 2004Description: 550 pISBN:
  • 0387401016
Subject(s): DDC classification:
  • 332.018
Summary: The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed fr stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes. This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.
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Item type Current library Item location Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 17-B / Slot 636 (0 Floor, West Wing) General Stacks 332.018 S4S8-II (Browse shelf(Opens below)) Checked out 31/08/2025 159815

Lib. has: Vol. I Binomial asset pricing models & Vol.II: Continuous-time models

The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed fr stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes. This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.

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