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Stochastic Finance: An Introduction with Market Examples by Nicolas Privault (Hardcover, 2013)

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Product Information

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It 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, exotic and American options, term structure modeling and change of numeraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.

Product Identifiers

Publisher
Taylor & Francis INC International Concepts
ISBN-13
9781466594029
eBay Product ID (ePID)
176557783

Product Key Features

Author
Nicolas Privault
Publication Name
Stochastic Finance: an Introduction with Market Examples
Format
Hardcover
Language
English
Subject
Finance, Mathematics
Publication Year
2013
Type
Textbook
Number of Pages
441 Pages

Dimensions

Item Height
234mm
Item Width
156mm
Item Weight
726g

Additional Product Features

Title_Author
Nicolas Privault
Series Title
Chapman & Hall/Crc Financial Mathematics Series
Country/Region of Manufacture
United States

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