These two volumes provide a foundation course on applied stochastic finance for students, financial analysts and practitioners, and any professional interested in learning advanced mathematical and stochastic methods through finance.
The books are illustrated with numerous examples, each highlighted and isolated from the text for easy reference and identification.
This volume studies continuous time models using continuous martingales, measure theory and stochastic differential equations as models for various assets such as the Wiener process, Brownian motion, etc. After building the necessary stochastic analysis background, the ... Lire la suite
These two volumes provide a foundation course on applied stochastic finance for students, financial analysts and practitioners, and any professional interested in learning advanced mathematical and stochastic methods through finance.
The books are illustrated with numerous examples, each highlighted and isolated from the text for easy reference and identification.
This volume studies continuous time models using continuous martingales, measure theory and stochastic differential equations as models for various assets such as the Wiener process, Brownian motion, etc. After building the necessary stochastic analysis background, the book then discusses the pricing of vanilla options in continuous time and credit derivatives.
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