Stochastic Processes with Applications to Finance
| Author | : | |
| Rating | : | 4.47 (553 Votes) |
| Asin | : | 1584882247 |
| Format Type | : | paperback |
| Number of Pages | : | 288 Pages |
| Publish Date | : | 2013-05-20 |
| Language | : | English |
DESCRIPTION:
very nice book indeed Matteo Camaggi I honestly do not agree with the previous reviewer. I had the chance to take a glimpse at a copy of it in London (and I immediately bought it) for mainly two reasons: I liked the Monte Carlo treatment (i.e. the rigorous definition of realization of a r.v. and then the variance reduction techniques) that is in general only sketched in other stochastic finance textbooks (e.g. Lamberton and Lapeyre's ,Dana and Jeanblanc's or totally absent in others) and then a very nice detail on SDEs on page 206-2. For beginners only Sandesh S. Salvi If you know calculus, there are better books around to learn stochastic processes applied to finance. Its just very basic introductory book.
The Black-Scholes formula is derived as a limit of binomial model, and applications to the pricing of derivative securities are presented. In recent years, modeling financial uncertainty using stochastic processes has become increasingly important, but it is commonly perceived as requiring a deep mathematical background. Another primary focus of the book is the pricing of corporate bonds and credit derivatives, which the author explains in terms of discrete default models.By presenting important results in discrete processes and showing how to transfer those results to their continuous counterparts, Stochastic Processes with Applications to Finance imparts an intuitive and practical understanding of the subject. This unique treatment is ideal both as a text for a graduate-level class and as a reference for researchers and practitioners in financial engineering, operations research, and mathematical and statistical f