Stochastic calculus for finance

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Material type: Text

TextPublication details: Cambridge University Press New York 2012Description: vii,177pISBN:

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Contents:

Discrete-time processes -- Wiener process -- Stochastic integrals -- Itô formula -- Stochastic differential equations.

Summary: Introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.0151922 CAP (Browse shelf(Opens below))	In transit from H.T. Parekh Library to H.T. Parekh Library since 17/07/2023		B23

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Previous	332.015192 FAB Financial modeling of the equity market: from CAPM to cointegration	332.015192 KYD Financial modelling using 1-2-3	332.015192 SWA Practical financial modelling: a guide to current practice	332.0151922 CAP Stochastic calculus for finance	332.0151923 NAW Dynamic term structure modeling: the fixed income valuation course /	332.0151923 TAN Optimal statistical inference in financial engineering	332.01519232 FOL Stochastic finance: an introduction in discrete time	Next

Discrete-time processes --
Wiener process --
Stochastic integrals --
Itô formula --
Stochastic differential equations.

Introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.

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