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Stochastic finance : = an introducti...

Privault, Nicolas.

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Stochastic finance : = an introduction with market examples /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Stochastic finance :/ Nicolas Privault.
其他題名:	an introduction with market examples /
作者:	Privault, Nicolas.
出版者:	Boca Raton :Taylor & Francis, : [2014].,
面頁冊數:	xvi, 426 p. :ill. ;24 cm.
標題:	Securities - Prices -
ISBN:	9781466594029

Stochastic finance : = an introduction with market examples /
Privault, Nicolas.

Stochastic finance :an introduction with market examples /Nicolas Privault. - Boca Raton :Taylor & Francis,[2014]. - xvi, 426 p. :ill. ;24 cm. - Chapman & Hall/CRC financial mathematics series..

Includes bibliographical references (pages 415-420) and index.

This comprehensive text presents an introduction to pricing and hedging in financial models, with an emphasis on analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance. The book starts with the basics of finance and stochastic calculus and builds up to special topics, such as options, derivatives, and credit default and jump processes. Many real examples illustrate the topics and classroom-tested exercises are included in each chapter, with selected solutions at the back of the book.

ISBN: 9781466594029GBP49.99

LCCN: 2013045572Subjects--Topical Terms:

724583
Securities
--Prices

LC Class. No.: HG4636 / .P85 2014

Dewey Class. No.: 332.63/2042

Stochastic finance : = an introduction with market examples /
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100 1 $a Privault, Nicolas. $3 934943
245 1 0 $a Stochastic finance : $b an introduction with market examples / $c Nicolas Privault.
260 # $a Boca Raton : $b Taylor & Francis, $c [2014].
300 $a xvi, 426 p. : $b ill. ; $c 24 cm.
490 0 $a Chapman & Hall/CRC financial mathematics series.
504 $a Includes bibliographical references (pages 415-420) and index.
520 # $a This comprehensive text presents an introduction to pricing and hedging in financial models, with an emphasis on analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance. The book starts with the basics of finance and stochastic calculus and builds up to special topics, such as options, derivatives, and credit default and jump processes. Many real examples illustrate the topics and classroom-tested exercises are included in each chapter, with selected solutions at the back of the book.
520 # $a Preface This text is an introduction to pricing and hedging in discrete and continuous time financial models without friction (i.e. without transaction costs), with an emphasis on the complementarity between analytical and probabilistic methods. Its contents are mostly mathematical, and also aim at making the reader aware of both the power and limitations of mathematical models in finance, by taking into account their conditions of applicability. The book covers a wide range of classical topics including Black-Scholes pricing, exotic and american options, term structure modeling and change of num eraire, as well as models with jumps. It is targeted at the advanced undergraduate and graduate level in applied mathematics, financial engineering, and economics. The point of view adopted is that of mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless pro t based on arbitrage opportunities and basic (buying low/selling high) trading. Similarly, this document is not concerned with any "prediction" of stock price behaviors that belong other domains such as technical analysis, which should not be confused with the statistical modeling of asset prices. The text also includes 104 gures and simulations, along with about 20 examples based on actual market data. The descriptions of the asset model, self- nancing portfolios, arbitrage and market completeness, are rst given in Chapter 1 in a simple two time-step setting. These notions are then reformulated in discrete time in Chapter 2. Here, the impossibility to access future information is formulated using the notion of adapted processes, which will play a central role in the construction of stochastic calculus in continuous time.
650 # 0 $a Securities $x Prices $x Mathematical models. $3 724583
650 # 0 $a Finance $x Mathematical models. $3 578740
650 # 0 $a Hedging (Finance) $x Mathematical models. $3 781546
650 # 0 $a Stochastic analysis. $3 533923