Stochastic Calculus for Finance

by Marek J. Capinski, Janusz Traple, Ekkehard Kopp, et al.

Book Overview

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 It integrals in some detail, with a focus on results needed for the Black-Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the It formula (proved in detail) become the centrepiece,...

• Format: Paperback
• Language: English
• ISBN: 0521175739
• ISBN13: 9780521175739
• Release Date: October 2012
• Publisher: Cambridge University Press
• Length: 186 Pages
• Weight: 0.70 lbs.
• Dimensions: 0.5" x 5.9" x 8.9"