Introduction to stochastic finance with market examples / Nicolas Privault, Nanyang Technological University, Singapore.
| Author/creator | Privault, Nicolas |
| Format | Electronic |
| Edition | Second edition. |
| Publication Info | Boca Raton, FL : Chapman & Hall, CRC Press, 2022. |
| Description | pages cm. |
| Supplemental Content | Full text available from Taylor & Francis eBooks |
| Subjects |
| Series | Chapman & Hall/CRC financial mathematics series |
| Abstract | "Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black-Scholes pricing, American options, derivatives, term structure modelling, and change of num©♭raire. It also builds up to special topics, such as exotic options, stochastic volatility and jump processes. New to this Edition: New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility. Contains over 235 exercises, and 16 problems with complete solutions. Added over 150 graphs and figures, for more than 250 in total, to optimize presentation. 57 R coding examples now integrated into the book for implementation of the methods. Substantially class-tested, so ideal for course use or self-study. With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field"-- Provided by publisher. |
| General note | Previous edition entered under title: Stochastic finance, 2014. |
| Bibliography note | Includes bibliographical references and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2022022636 |
| ISBN | 9781032288260 (hbk) |
| ISBN | 9781032288277 (pbk) |
| ISBN | (ebk) |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |