Verfügbarkeit: Introduction to stochastic calculus applied to finance

Introduction to stochastic calculus applied to finance:

Gespeichert in:

Bibliographische Detailangaben
Beteiligte Personen:	Lamberton, Damien (VerfasserIn), Lapeyre, Bernard (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Boca Raton [u.a.] Chapman & Hall/CRC 2008
Ausgabe:	2. ed.
Schriftenreihe:	Chapman & Hall /CRC financial mathematics series
Schlagwörter:	Stochastischer Prozess / Optionspreistheorie / Portfolio-Management / Finanzmathematik / Theorie Mathematik Mathematisches Modell Investments > Mathematics Options (Finance) > Mathematical models Stochastic analysis Stochastik Finanzwirtschaft Stochastisches Modell Stochastischer Prozess Option Stochastische Analysis Finanzmathematik Optionshandel Einführung
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016153026&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Abstract:	Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance topics, including a chapter dedicated to credit risk modeling.
Umfang:	253 S.
ISBN:	1584886269 9781584886266

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Datensatz im Suchindex

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adam_text	Contents Introduction 9 1 Discrete-time models 15 1.1 Discrete-time formalism ...................... 15 1.2 Martingales and arbitrage opportunities ............. 18 1.3 Complete markets and option pricing ............... 22 1.4 Problem: Cox, Ross and Rubinstein model ............ 26 1.5 Exercises .............................. 31 2 Optimal stopping problem and American options 37 2.1 Stopping time ............................ 37 2.2 The Snell envelope ......................... 38 2.3 Decomposition of supermartingales ................ 41 2.4 Snell envelope and Markov chains ................. 42 2.5 Application to American options ................. 43 2.6 Exercises .............................. 46 3 Brownian motion and stochastic differential equations 51 3.1 General comments on continuous-time processes ........ 52 3.2 Brownian motion .......................... 53 3.3 Continuous-time martingales ................... 55 3.4 Stochastic, integral and Ito calculus ................ 58 3.5 Stochastic differential equations ................... 72 3.6 Exercises .............................. 80 4 The Black-Scholes model 87 4.1 Description of the model ...................... 87 4.2 Change of probability. Representation of martingales ...... 90 4.3 Pricing and hedging options in the Black-Scholes model .... 91 4.4 American options .......................... 96 4.5 Implied volatility and local volatility models ........... 101 4.6 The Black-Scholes model with dividends and call/put symmetry 103 4.7 Exercises .............................. 104 4.8 Problems .............................. 108 5 Option pricing and partial differential equations 123 5.1 European option pricing and diffusions ..............123 5.2 Solving parabolic equations numerically .............132 5.3 American options ..........................138 5.4 Exercises ..............................146 6 Interest rate models 149 6.1 Modelling principles ........................149 6.2 Some classical models .......................158 6.3 Exercises ..............................169 7 Asset models with jumps 173 7.1 Poisson process ...........................173 7.2 Dynamics of the risky asset ....................175 7.3 Martingales in a jump-diffusion model ..............177 7.4 Pricing options in a jump-diffusion model ............182 7.5 Exercises ..............................191 8 Credit risk models 195 8.1 Structural models ..........................195 8.2 Intensity-based models .......................196 8.3 Copulas ...............................202 8.4 Exercises ..............................205 9 Simulation and algorithms for financial models 207 9.1 Simulation and financial models ..................207 9.2 Introduction to variance reduction methods ...........215 9.3 Exercises ..............................224 9.4 Computer experiments .......................225 Appendix 235 A.I Normal random variables .....................235 A. 2 Conditional expectation ......................237 A.3 Separation of convex sets .....................241 Bibliography 243 Index 251
any_adam_object	1
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dewey-tens	330 - Economics
discipline	Mathematik Wirtschaftswissenschaften
edition	2. ed.
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spellingShingle	Lamberton, Damien Lapeyre, Bernard Introduction to stochastic calculus applied to finance Stochastischer Prozess / Optionspreistheorie / Portfolio-Management / Finanzmathematik / Theorie Mathematik Mathematisches Modell Investments Mathematics Options (Finance) Mathematical models Stochastic analysis Stochastik (DE-588)4121729-9 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Stochastisches Modell (DE-588)4057633-4 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Option (DE-588)4115452-6 gnd Stochastische Analysis (DE-588)4132272-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Optionshandel (DE-588)4126185-9 gnd
subject_GND	(DE-588)4121729-9 (DE-588)4017214-4 (DE-588)4057633-4 (DE-588)4057630-9 (DE-588)4115452-6 (DE-588)4132272-1 (DE-588)4017195-4 (DE-588)4126185-9 (DE-588)4151278-9
title	Introduction to stochastic calculus applied to finance
title_alt	Introduction au calcul stochastique appliqué à la finance
title_auth	Introduction to stochastic calculus applied to finance
title_exact_search	Introduction to stochastic calculus applied to finance
title_full	Introduction to stochastic calculus applied to finance Damien Lamberton and Bernard Lapeyre
title_fullStr	Introduction to stochastic calculus applied to finance Damien Lamberton and Bernard Lapeyre
title_full_unstemmed	Introduction to stochastic calculus applied to finance Damien Lamberton and Bernard Lapeyre
title_short	Introduction to stochastic calculus applied to finance
title_sort	introduction to stochastic calculus applied to finance
topic	Stochastischer Prozess / Optionspreistheorie / Portfolio-Management / Finanzmathematik / Theorie Mathematik Mathematisches Modell Investments Mathematics Options (Finance) Mathematical models Stochastic analysis Stochastik (DE-588)4121729-9 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Stochastisches Modell (DE-588)4057633-4 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Option (DE-588)4115452-6 gnd Stochastische Analysis (DE-588)4132272-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Optionshandel (DE-588)4126185-9 gnd
topic_facet	Stochastischer Prozess / Optionspreistheorie / Portfolio-Management / Finanzmathematik / Theorie Mathematik Mathematisches Modell Investments Mathematics Options (Finance) Mathematical models Stochastic analysis Stochastik Finanzwirtschaft Stochastisches Modell Stochastischer Prozess Option Stochastische Analysis Finanzmathematik Optionshandel Einführung
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016153026&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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Bestandsangaben von Teilbibliothek Chemie, Lehrbuchsammlung
Signatur:	0303 MAT 606f 2008 L 121(2) Lageplan
Exemplar 1	Ausleihbar Am Standort
Exemplar 2	Ausleihbar Am Standort
Exemplar 3	Ausleihbar Am Standort
Exemplar 4	Ausleihbar Am Standort
Exemplar 5	Ausleihbar Am Standort