A course in Financial calculus /
This text is designed for first courses in financial calculus aimed at students with a strong background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. La...
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| Format: | Book |
| Language: | English |
| Published: |
Cambridge, UK ; New York :
Cambridge University Press,
2002.
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| Online Access: | Sample text Table of contents Table of contents E-book Publisher description |
| Summary: | This text is designed for first courses in financial calculus aimed at students with a strong background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. Later chapters are devoted to increasing the financial sophistication of the models and instruments introduced in earlier chapters. A final chapter introduces more advanced topics such as stock price models with jumps. Numerous exercises and examples are included. |
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| Physical Description: | viii, 196 pages : illustrations ; 26 cm |
| Bibliography: | Includes bibliographical references (pages 189-190) and index. |
| ISBN: | 0521813859 9780521813853 0521890772 9780521890779 |