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Stochastic Calculus and Financial Applications - J. Michael Steele
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J. Michael Steele:

Stochastic Calculus and Financial Applications - nuovo libro

2012, ISBN: 9781468493054

eBooks, eBook Download (PDF), This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton Scho… Altro …

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Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability Book 45) - Steele, J. Michael
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Steele, J. Michael:

Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability Book 45) - nuovo libro

2012, ISBN: 9781468493054

Springer, Kindle Edition, Auflage: Corrected, 320 Seiten, Publiziert: 2012-12-06T00:00:00.000Z, Produktgruppe: Digital Ebook Purchas, Verkaufsrang: 2569371, Economics, Business, Finance &… Altro …

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Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability Book 45) (English Edition) - Steele, J. Michael
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Steele, J. Michael:
Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability Book 45) (English Edition) - nuovo libro

2012

ISBN: 9781468493054

Springer, Kindle Ausgabe, Auflage: Corrected, 320 Seiten, Publiziert: 2012-12-06T00:00:00.000Z, Produktgruppe: Digital Ebook Purchas, Medizin, Kategorien, Bücher, Wirtschaftslehre, Wirtsc… Altro …

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Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability Book 45) - Steele, J. Michael
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Steele, J. Michael:
Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability Book 45) - nuovo libro

2012, ISBN: 9781468493054

Springer, Kindle Edition, Auflage: Corrected, 320 Seiten, Publiziert: 2012-12-06T00:00:00.000Z, Produktgruppe: Digital Ebook Purchas, Verkaufsrang: 612460, Economics, Business & Money, Su… Altro …

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Stochastic Calculus and Financial Applications - Mark Fisher
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Stochastic Calculus and Financial Applications - nuovo libro

ISBN: 9781468493054

; PDF; Business,Finance and Law > Finance & accounting > Finance, Bloomsbury Publishing

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Dettagli del libro
Stochastic Calculus and Financial Applications
Autore:
Titolo:
ISBN:

9781468493054

Informazioni dettagliate del libro - Stochastic Calculus and Financial Applications


EAN (ISBN-13): 9781468493054
Anno di pubblicazione: 2012
Editore: Springer New York

Libro nella banca dati dal 2017-02-13T04:20:50+01:00 (Zurich)
Pagina di dettaglio ultima modifica in 2024-02-27T08:52:06+01:00 (Zurich)
ISBN/EAN: 9781468493054

ISBN - Stili di scrittura alternativi:
978-1-4684-9305-4
Stili di scrittura alternativi e concetti di ricerca simili:
Autore del libro : steele, mark fisher
Titolo del libro: stochastic calculus applications

Dati dell'editore

Autore: J. Michael Steele
Titolo: Stochastic Modelling and Applied Probability; Stochastic Calculus and Financial Applications
Editore: Springer; Springer US
302 Pagine
Anno di pubblicazione: 2012-12-06
New York; NY; US
Lingua: Inglese
88,00 € (DE)

EA; E107; eBook; Nonbooks, PBS / Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik; Wahrscheinlichkeitsrechnung und Statistik; Verstehen; Stochastic Differential Equations; Stochastic Processes; Stochastic calculus; Uniform integrability; Variance; calculus; statistics; quantitative finance; C; Probability Theory; Mathematics in Business, Economics and Finance; Statistical Theory and Methods; Mathematics and Statistics; Stochastik; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC

1. Random Walk and First Step Analysis.- 1.1. First Step Analysis.- 1.2. Time and Infinity.- 1.3. Tossing an Unfair Coin.- 1.4. Numerical Calculation and Intuition.- 1.5. First Steps with Generating Functions.- 1.6. Exercises.- 2. First Martingale Steps.- 2.1. Classic Examples.- 2.2. New Martingales from Old.- 2.3. Revisiting the Old Ruins.- 2.4. Submartingales.- 2.5. Doob’s Inequalities.- 2.6. Martingale Convergence.- 2.7. Exercises.- 3. Brownian Motion.- 3.1. Covariances and Characteristic Functions.- 3.2. Visions of a Series Approximation.- 3.3. Two Wavelets.- 3.4. Wavelet Representation of Brownian Motion.- 3.5. Scaling and Inverting Brownian Motion.- 3.6. Exercises.- 4. Martingales: The Next Steps.- 4.1. Foundation Stones.- 4.2. Conditional Expectations.- 4.3. Uniform Integrability.- 4.4. Martingales in Continuous Time.- 4.5. Classic Brownian Motion Martingales.- 4.6. Exercises.- 5. Richness of Paths.- 5.1. Quantitative Smoothness.- 5.2. Not Too Smooth.- 5.3. Two Reflection Principles.- 5.4. The Invariance Principle and Donsker’s Theorem.- 5.5. Random Walks Inside Brownian Motion.- 5.6. Exercises.- 6. Itô Integration.- 6.1. Definition of the Ito Integral: First Two Steps.- 6.2. Third Step: Itô’s Integral as a Process.- 6.3. The Integral Sign: Benefits and Costs.- 6.4. An Explicit Calculation.- 6.5. Pathwise Interpretation of Ito Integrals.- 6.6. Approximation in H2.- 6.7. Exercises.- 7. Localization and Itô’s Integral.- 7.1. Itô’s Integral on L2LOC.- 7.2. An Intuitive Representation.- 7.3. Why Just L2LOC?.- 7.4. Local Martingales and Honest Ones.- 7.5. Alternative Fields and Changes of Time.- 7.6. Exercises.- 8. Itô’s Formula.- 8.1. Analysis and Synthesis.- 8.2. First Consequences and Enhancements.- 8.3. Vector Extension and Harmonic Functions.-8.4. Functions of Processes.- 8.5. The General Ito Formula.- 8.6. Quadratic Variation.- 8.7. Exercises.- 9. Stochastic Differential Equations.- 9.1. Matching Itô’s Coefficients.- 9.2. Ornstein-Uhlenbeck Processes.- 9.3. Matching Product Process Coefficients.- 9.4. Existence and Uniqueness Theorems.- 9.5. Systems of SDEs.- 9.6. Exercises.- 10. Arbitrage and SDEs.- 10.1. Replication and Three Examples of Arbitrage.- 10.2. The Black-Scholes Model.- 10.3. The Black-Scholes Formula.- 10.4. Two Original Derivations.- 10.5. The Perplexing Power of a Formula.- 10.6. Exercises.- 11. The Diffusion Equation.- 11.1. The Diffusion of Mice.- 11.2. Solutions of the Diffusion Equation.- 11.3. Uniqueness of Solutions.- 11.4. How to Solve the Black-Scholes PDE.- 11.5. Uniqueness and the Black-Scholes PDE.- 11.6. Exercises.- 12. Representation Theorems.- 12.1. Stochastic Integral Representation Theorem.- 12.2. The Martingale Representation Theorem.- 12.3. Continuity of Conditional Expectations.- 12.4. Lévy’s Representation Theorem.- 12.5. Two Consequences of Lévy’s Representation.- 12.6. Bedrock Approximation Techniques.- 12.7. Exercises.- 13. Girsanov Theory.- 13.1. Importance Sampling.- 13.2. Tilting a Process.- 13.3. Simplest Girsanov Theorem.- 13.4. Creation of Martingales.- 13.5. Shifting the General Drift.- 13.6. Exponential Martingales and Novikov’s Condition.- 13.7. Exercises.- 14. Arbitrage and Martingales.- 14.1. Reexamination of the Binomial Arbitrage.- 14.2. The Valuation Formula in Continuous Time.- 14.3. The Black-Scholes Formula via Martingales.- 14.4. American Options.- 14.5. Self-Financing and Self-Doubt.- 14.6. Admissible Strategies and Completeness.- 14.7. Perspective on Theory and Practice.- 14.8. Exercises.- 15. The Feynman-Kac Connection.- 15.1. FirstLinks.- 15.2. The Feynman-Kac Connection for Brownian Motion.- 15.3. Lévy’s Arcsin Law.- 15.4. The Feynman-Kac Connection for Diffusions.- 15.5. Feynman-Kac and the Black-Scholes PDEs.- 15.6. Exercises.- Appendix I. Mathematical Tools.- Appendix II. Comments and Credits.
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