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Introduction To Stochastic Finance

Introduction to Stochastic Finance PDF
Author: Jia-An Yan
Publisher: Springer
ISBN: 9811316570
Size: 22.25 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 403
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Introduction To Stochastic Finance

by Jia-An Yan, Introduction To Stochastic Finance Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Finance books, This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.




Introduction To Stochastic Calculus With Applications 3rd Edition

Introduction To Stochastic Calculus With Applications  3rd Edition  PDF
Author: Klebaner Fima C
Publisher: World Scientific Publishing Company
ISBN: 1911298674
Size: 66.76 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 452
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Introduction To Stochastic Calculus With Applications 3rd Edition

by Klebaner Fima C, Introduction To Stochastic Calculus With Applications 3rd Edition Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Calculus With Applications 3rd Edition books, This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering. It is also suitable for researchers to gain working knowledge of the subject. It contains many solved examples and exercises making it suitable for self study.In the book many of the concepts are introduced through worked-out examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. The book covers models in mathematical finance, biology and engineering. For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises./a




Introduction To Stochastic Calculus

Introduction to Stochastic Calculus PDF
Author: Rajeeva L. Karandikar
Publisher: Springer
ISBN: 9811083185
Size: 61.66 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 441
View: 1968

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Introduction To Stochastic Calculus

by Rajeeva L. Karandikar, Introduction To Stochastic Calculus Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Calculus books, This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.




Introduction To Stochastic Calculus With Applications

Introduction to Stochastic Calculus with Applications PDF
Author: Fima C. Klebaner
Publisher:
ISBN: 9781848168312
Size: 38.36 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 438
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Introduction To Stochastic Calculus With Applications

by Fima C. Klebaner, Introduction To Stochastic Calculus With Applications Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Calculus With Applications books, Presents a treatment of stochastic calculus. This title gives its main applications in finance, biology and engineering. It presents the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability.




Introduction To Stochastic Calculus For Finance

Introduction to Stochastic Calculus for Finance PDF
Author: Dieter Sondermann
Publisher: Springer Science & Business Media
ISBN: 3540348379
Size: 70.63 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 138
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Introduction To Stochastic Calculus For Finance

by Dieter Sondermann, Introduction To Stochastic Calculus For Finance Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Calculus For Finance books, 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.




Introduction To Stochastic Calculus Applied To Finance Second Edition

Introduction to Stochastic Calculus Applied to Finance  Second Edition PDF
Author: Damien Lamberton
Publisher: CRC Press
ISBN: 9780412718007
Size: 34.79 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 200
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Introduction To Stochastic Calculus Applied To Finance Second Edition

by Damien Lamberton, Introduction To Stochastic Calculus Applied To Finance Second Edition Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Calculus Applied To Finance Second Edition books, In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.




Stochastic Calculus

Stochastic Calculus PDF
Author: Paolo Baldi
Publisher: Springer
ISBN: 3319622269
Size: 60.30 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 627
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Stochastic Calculus

by Paolo Baldi, Stochastic Calculus Books available in PDF, EPUB, Mobi Format. Download Stochastic Calculus books, This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions. After explaining the basic elements of probability, the author introduces more advanced topics such as Brownian motion, martingales and Markov processes. The core of the book covers stochastic calculus, including stochastic differential equations, the relationship to partial differential equations, numerical methods and simulation, as well as applications of stochastic processes to finance. The final chapter provides detailed solutions to all exercises, in some cases presenting various solution techniques together with a discussion of advantages and drawbacks of the methods used. Stochastic Calculus will be particularly useful to advanced undergraduate and graduate students wishing to acquire a solid understanding of the subject through the theory and exercises. Including full mathematical statements and rigorous proofs, this book is completely self-contained and suitable for lecture courses as well as self-study.




An Informal Introduction To Stochastic Calculus With Applications

An Informal Introduction to Stochastic Calculus with Applications PDF
Author: Ovidiu Calin
Publisher: World Scientific
ISBN: 9814678953
Size: 57.29 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 332
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An Informal Introduction To Stochastic Calculus With Applications

by Ovidiu Calin, An Informal Introduction To Stochastic Calculus With Applications Books available in PDF, EPUB, Mobi Format. Download An Informal Introduction To Stochastic Calculus With Applications books, The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author aims to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus. Contents:A Few Introductory ProblemsBasic NotionsUseful Stochastic ProcessesProperties of Stochastic ProcessesStochastic IntegrationStochastic DifferentiationStochastic Integration TechniquesStochastic Differential EquationsApplications of Brownian MotionGirsanov's Theorem and Brownian MotionSome Applications of Stochastic CalculusHints and Solutions Readership: Undergraduate and graduate students interested in stochastic processes. Key Features:The book contains numerous problems with full solutions and plenty of worked out examples and figures, which facilitate material understandingThe material was tested on students at several universities around the world (Taiwan, Kuwait, USA); this led to a presentation form that balances both technicality and understandingThe presentation mimics as close as possible the same chapters as in deterministic calculus; former calculus students will find this chronology of ideas familiar to CalculusKeywords:Stochastic Processes;Probability Distribution;Brownian Motion;Filtering Theory;Martingale;Ito Calculus;Poisson Process;Bessel Process




Introduction To Stochastic Integration

Introduction to Stochastic Integration PDF
Author: Kai L. Chung
Publisher: Springer Science & Business Media
ISBN: 9780817633868
Size: 61.53 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 278
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Introduction To Stochastic Integration

by Kai L. Chung, Introduction To Stochastic Integration Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Integration books, This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section §9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (§6.4) and the material on re flected Brownian motions (§8.5) have been updated. Needless to say, there are scattered over the text minor improvements and corrections to the first edition. A Russian translation of the latter, without changes, appeared in 1987. Stochastic integration has grown in both theoretical and applicable importance in the last decade, to the extent that this new tool is now sometimes employed without heed to its rigorous requirements. This is no more surprising than the way mathematical analysis was used historically. We hope this modest introduction to the theory and application of this new field may serve as a text at the beginning graduate level, much as certain standard texts in analysis do for the deterministic counterpart. No monograph is worthy of the name of a true textbook without exercises. We have compiled a collection of these, culled from our experiences in teaching such a course at Stanford University and the University of California at San Diego, respectively. We should like to hear from readers who can supply VI PREFACE more and better exercises.




Introduction To Stochastic Calculus Applied To Finance

Introduction to Stochastic Calculus Applied to Finance PDF
Author: Damien Lamberton
Publisher: CRC Press
ISBN: 142000994X
Size: 59.88 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 254
View: 1046

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Introduction To Stochastic Calculus Applied To Finance

by Damien Lamberton, Introduction To Stochastic Calculus Applied To Finance Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Calculus Applied To Finance books, Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, Introduction