Marek Capinski

Stochastic Calculus for Finance

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ISBN 13:: 9780521175739
author:: Marek Capinski
format:: Paperback
publisher:: Cambridge University Press
language:: English
Publication Year:: 2012
Pages:: 192
Dimensions:: 5.98 (w) x 8.98 (h) x 0.51 (d)
Genre:: Economic Statistics
Condition:: New
Availability:: Item usually sent within 10 working days

£37.51

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Description

Description

Stochastic Calculus for Finance by Marek Capiński, Ekkehard Kopp and Janusz Traple provides a comprehensive introduction to the key results in stochastic processes that are essential for finance practitioners. The authors focus on the Wiener process and Itô integrals, exploring their applications in the Black-Scholes option pricing model. The book delves into the construction of the integral and the Itô formula, offering detailed proofs and concrete examples of stochastic differential equations used in finance. Students, practitioners, and researchers will benefit from its rigorous yet accessible approach to technical issues. Solutions to the exercises are available online for those looking to further their understanding. This textbook is an ideal resource for those seeking a thorough introduction to Itô calculus, with careful exposition and detailed proofs that make complex concepts more manageable.

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