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Continuous Stochastic Calculus with Applications to Finance - Michael Meyer Meyer, Michael
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2000, ISBN: 1584882344

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[EAN: 9781584882343], Neubuch, [PU: Taylor and Francis(Chapman and Hall/CRC)], Business & Economics|Economics|General, Mathematics|Probability & Statistics|General, (336 pages) The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale. The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives. Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.MARTINGALE THEORY Covergence of Random Variables Conditioning Submartingales Convergence Theorems Optional Sampling of Closed Submartingale Sequences Maximal Inequalities for Submartingale Sequences Continuous Time Martingales Local Martingales Quadratic Variation The Covariation Process Semimartingales BROWNIAN MOTION Gaussian Process One Dimensional Brownian Motion STOCHASTIC INTEGRATION Measurability Properties of Stochastic Processes Stochastic Integration with Respect to Continuous Semimartingales Ito's Formula Change of Measure Representation of Continuous Local Martingales Miscellaneous APPLICATION TO FINANCE The Simple Black Scholes Market Pricing of Contingent Claims The General Market Model Pricing of Random Payoffs at Fixed Future Dates Interest Rate Derivatives APPENDIX Separation of Convex Sets The Basic Extension Procedure Positive Semidefinite Matrices Kolmogoroff Existence Theorem (Hardback)

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Continuous Stochastic Calculus with Applications to Finance - Michael Meyer
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The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale. The author develops the The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale. The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives. Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading. Books, Business & Economics~~Finance~~General, Continuous-Stochastic-Calculus-with-Applications-to-Finance~~Michael-Meyer, 999999999, Continuous Stochastic Calculus with Applications to Finance, Michael Meyer, 1584882344, Taylor & Francis, , , , , Taylor & Francis

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Continuous Stochastic Calculus with Applications to Finance - Meyer, Michael
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Continuous Stochastic Calculus with Applications to Finance - gebunden oder broschiert

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Internationaler Buchtitel. In englischer Sprache. Verlag: CHAPMAN & HALL, 336 Seiten, L=242mm, B=163mm, H=24mm, Gew.=644gr, [GR: 17830 - HC/Volkswirtschaft], [SW: - Business / Economics / Finance], Gebunden, Klappentext: The prolonged boom in the US and European stock markets increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It offers a treatment balance between aesthetic appeal, degree of generality, depth, and ease of reading. The prolonged boom in the US and European stock markets increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It offers a treatment balance between aesthetic appeal, degree of generality, depth, and ease of reading.

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MARTINGALE THEORY Covergence of Random Variables Conditioning Submartingales Convergence Theorems Optional Sampling of Closed Submartingale Sequences Maximal Inequalities for Submartingale Sequences Continuous Time Martingales Local Martingales Quadratic Variation The Covariation Process Semimartingales BROWNIAN MOTION Gaussian Process One Dimensional Brownian Motion STOCHASTIC INTEGRATION Measurability Properties of Stochastic Processes Stochastic Integration with Respect to Continuous Semimartingales Ito's Formula Change of Measure Representation of Continuous Local Martingales Miscellaneous APPLICATION TO FINANCE The Simple Black Scholes Market Pricing of Contingent Claims The General Market Model Pricing of Random Payoffs at Fixed Future Dates Interest Rate Derivatives APPENDIX Separation of Convex Sets The Basic Extension Procedure Positive Semidefinite Matrices Kolmogoroff Existence Theorem Business Business eBook, CRC Press

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Continuous Stochastic Calculus with Applications to Finance
Autor:

Meyer, Michael

Titel:

Continuous Stochastic Calculus with Applications to Finance

ISBN-Nummer:

1584882344

The prolonged boom in the US and European stock markets increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It offers a treatment balance between aesthetic appeal, degree of generality, depth, and ease of reading.

Detailangaben zum Buch - Continuous Stochastic Calculus with Applications to Finance


EAN (ISBN-13): 9781584882343
ISBN (ISBN-10): 1584882344
Gebundene Ausgabe
Erscheinungsjahr: 2000
Herausgeber: CHAPMAN & HALL
336 Seiten
Gewicht: 0,644 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 21.06.2007 20:12:52
Buch zuletzt gefunden am 21.09.2016 22:21:33
ISBN/EAN: 1584882344

ISBN - alternative Schreibweisen:
1-58488-234-4, 978-1-58488-234-3

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