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
The book is a comprehensive yet compressed entry-level introduction on single variable calculus, focusing on the concepts and applications of limits...
Calculus with Applications,10th Edition by Lial, Greenwell, and Ritchey, is our most applied text to date, making the math relevant and accessible for students...
After presenting the first volume of this two-volume book, presenting a lot of mathematical and theoretical studies and research related to non-integer...
Recent Posts
- Ultra Performance Liquid Chromatography Mass Spectrometry Evaluation and Applications in Food Analysis PDF
- Peptide and Peptidomimetic Therapeutics From Bench to Bedside PDF
- Single Variable Calculus A First Step PDF
- The Handbook of Medicinal Chemistry Principles and Practice PDF
- Calculus with Applications 10th Edition by Lial, Margaret L PDF
Add Comment