Stochastic Calculus for Finance PDF (Adobe DRM) download by Marek Capi ski

Stochastic Calculus for Finance

Cambridge University Press
Publication date: August 2012
ISBN: 9781139557955
Digital Book format: PDF (Adobe DRM)

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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 ItÙ integrals in some detail, with a focus on results needed for the BlackñScholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the ItÙ 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 ItÙ 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.
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