The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale.The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives.
Continuous Stochastic Calculus with Applications to Finance Free Download
April 13, 2022

You may also like
CALCULUS MATHEMATICS
Master the AP Calculus AB and BC, 2nd Edition by W Michael Kelley PDF
October 14, 2023
Provides review of mathematical concepts, advice on using graphing calculators, test-taking tips, and full-length sample exams with explanatory answers.
CALCULUS MATHEMATICS
AP Calculus Premium With 12 Practice Tests 15th Edition by David Bock M.S. PDF
October 14, 2023
Sharpen your test‑taking skills with 12 full‑length practice tests 4 AB practice tests and 4 BC practice tests in the book, including one diagnostic test each...
CALCULUS MATHEMATICS
Calculus Early Transcendentals 10th Edition by Howard Anton PDF
October 13, 2023
Anton, Bivens & Davis latest issue of Calculus Early Transcendentals Single Variable continues to build upon previous editions to fulfill the needs of a...
Recent Posts
- Principles of Physics From Quantum Field Theory to Classical Mechanics Vol 2 by Jun Ni PDF
- Chemistry, 4th Edition by Catherine E. Housecroft PDF
- Mathematics for Physics and physicists by Walter Appel PDF
- Nutrition for Veterinary Technicians and Nurses by Ann Wortinger PDF
- Modern Physics 4th Edition by Kenneth S. Krane PDF
Add Comment