Continuous Stochastic Calculus with Applications to Finance by Michael Meyer

Skip to product information
1 of 1

Continuous Stochastic Calculus with Applications to Finance by Michael Meyer

Summary

The prolonged boom in the U.S. 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 of the tools rea

The feel-good place to buy books
  • Free shipping in the US over $15
  • Supporting authors with AuthorSHARE
  • 100% recyclable packaging
  • Proud to be a B Corp – A Business for good
  • Sell-back with World of Books - Sell your Books

Continuous Stochastic Calculus with Applications to Finance by Michael Meyer

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 Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.
Meyer, Michael
SKU Unavailable
ISBN 13 9780367455439
ISBN 10 0367455439
Title Continuous Stochastic Calculus with Applications to Finance
Author Michael Meyer
Condition Unavailable
Binding Type Paperback
Publisher Taylor & Francis Ltd
Year published 2019-12-02
Number of pages 336
Cover note Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note Unavailable