Stochastic Analysis for Finance with Simulations, 1st Edition
$96.83
- Paperback
657 pages
- Release Date
22 July 2016
Summary
This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity…
Book Details
| ISBN-13: | 9783319255873 |
|---|---|
| ISBN-10: | 3319255878 |
| Author: | Geon Ho Choe |
| Publisher: | Springer International Publishing AG |
| Imprint: | Springer International Publishing AG |
| Format: | Paperback |
| Number of Pages: | 657 |
| Edition: | 1st |
| Release Date: | 22 July 2016 |
| Weight: | 1.04kg |
| Dimensions: | 235mm x 155mm |
| Series: | Universitext |
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What They're Saying
Critics Review
“This book gives an introduction to financial mathematics. It presents also some background of mathematical facts necessary for understanding modern finance. … For the reader convenience, the book contains a detailed contents, a list of figures, a list of tables, a list of simulations, a list of acronyms and a list of used symbols.” (Jacek Jakubowski, zbMATH 1409.91002, 2019)
“This excellent textbook is addressed to undergraduate and graduate students in mathematics and finance who want to study the main tools of stochastic calculus and its application to quantitative finance. Also, it can be used as a reference book for practitioners and professionals from the financial industry who want a better understanding of the theoretical aspects of stochastic calculus, and how it can be used in the pricing of financial derivatives.” (Carlos Vázquez Cendón, Mathematical Reviews, August, 2017)About The Author
Geon Ho Choe
The author’s main interests are simulations of random phenomena in the areas of quantitative finance, random number generators, dynamical systems theory, and information theory. He has published a book titled “Computational Ergodic Theory”.
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