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Bestseller
BestsellerE-book
Author Lamberton, Damien.

Title Introduction to Stochastic Calculus Applied to Finance, Second Edition.

Publication Info. Hoboken : CRC Press, 2011.
Online access
Online eBook via EBSCO. Access restricted to current Rider University students, faculty, and staff.
Instructions for reading/downloading the EBSCO version of this eBook

Item Status

Edition 2nd ed.
Description 1 online resource (253 pages).
Physical Medium polychrome
Description text file
Series Chapman and Hall/CRC Financial Mathematics Series
Chapman & Hall/CRC financial mathematics series.
Contents Front cover; Preface to the second edition; Contents; Introduction; Chapter 1: Discrete-time models; Chapter 2: Optimal stopping problem and American options; Chapter 3: Brownian motion and stochastic di˙erentialequations; Chapter 4: The Black-Scholes model; Chapter 5: Option pricing and partial differential equations; Chapter 6: Interest rate models; Chapter 7: Asset models with jumps; Chapter 8: Credit risk models; Chapter 9: Simulation and algorithms for financial models; Appendix; Bibliography; Back cover
Summary INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope and Markov chains Application to American options BROWNIAN MOTION AND STOCHASTIC DIFFERENTIAL EQUATIONS General comments on continuous-time processesBrownian motion Continuous-time martingales Stochastic integral and Itô calculus Stochastic differential equations THE BLACK-SCHOLES MODEL Description.
Bibliography Includes bibliographical references and index.
Local Note eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America
Subject Investments -- Mathematics.
Investments -- Mathematics.
Stochastic analysis.
Stochastic analysis.
Options (Finance) -- Mathematical models.
Options (Finance) -- Mathematical models.
Genre/Form Electronic books.
Added Author Lapeyre, Bernard.
Other Form: Print version: Lamberton, Damien. Introduction to Stochastic Calculus Applied to Finance, Second Edition. Hoboken : CRC Press, ©2011 9781584886266
ISBN 9781420009941 (electronic book)
142000994X (electronic book)
9781584886266
Standard No. 10.1201/9781420009941

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