Overview

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 equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Itô calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.
ISBN-13

9781107002647

ISBN-10

1107002648

Weight

0.97 Pounds

Dimensions

6.00 x 0.50 x 9.00 In

List Price

$79.00

Edition

1st Edition

Format

Hardcover

Language

English

Pages

186 pages

Publisher

Cambridge University Press

Published On

2012-08-23


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