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Introduction to stochastic calculus applied to finance /

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Bibliographic Details
Main Authors: Lamberton, Damien (Author), Lapeyre, Bernard (Author)
Corporate Authors: Taylor & Francis, CRC Press
Format: eBook
Language:English
Published: Boca Raton, FL : CRC Press, an imprint of Chapman and Hall/CRC, [2011].
Edition:Second edition.
Subjects:
Investments > Mathematics.
Options (Finance) > Mathematical models.
Stochastic analysis.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • chapter Preface to the second edition
  • chapter Contents
  • chapter Introduction
  • chapter 1 Discrete-time models
  • chapter 2 Optimal stopping problem and American options
  • chapter 3 Brownian motion and stochastic differential equations
  • 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.