Full Read and Download Reference eBook
Financial Calculus Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Financial Calculus book. This book definitely worth reading, it is an incredibly well-written.
Author : Martin Baxter
Publisher : Cambridge University Press
Page : 252 pages
File Size : 11,66 MB
Release : 1996-09-19
Category : Business & Economics
ISBN : 9780521552899
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
Author : Alison Etheridge
Publisher : Cambridge University Press
Page : 208 pages
File Size : 42,37 MB
Release : 2002-08-15
Category : Business & Economics
ISBN : 9780521890779
Finance provides a dramatic example of the successful application of mathematics to the practical problem of pricing financial derivatives. This self-contained text is designed for first courses in financial calculus. Key concepts are introduced in the discrete time framework: proofs in the continuous-time world follow naturally. The second half of the book is devoted to financially sophisticated models and instruments. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts are applied to realistic financial questions.
Author : J. Michael Steele
Publisher : Springer Science & Business Media
Page : 303 pages
File Size : 38,80 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 1468493051
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Author : Fima C. Klebaner
Publisher : Imperial College Press
Page : 431 pages
File Size : 27,24 MB
Release : 2005
Category : Mathematics
ISBN : 1860945554
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Author : A. J. Roberts
Publisher : SIAM
Page : 143 pages
File Size : 35,60 MB
Release : 2009-01-01
Category : Mathematics
ISBN : 0898718228
Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.
Author : Steven Shreve
Publisher : Springer Science & Business Media
Page : 212 pages
File Size : 33,88 MB
Release : 2005-06-28
Category : Mathematics
ISBN : 9780387249681
Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance
Author : Elisa Alos
Publisher : CRC Press
Page : 350 pages
File Size : 29,86 MB
Release : 2021-07-14
Category : Mathematics
ISBN : 1000403513
Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain random variables, it has proved to be a useful tool in many other problems. In particular, it has found applications in quantitative finance, as in the computation of hedging strategies or the efficient estimation of the Greeks. The objective of this book is to offer a bridge between theory and practice. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling related to the vanilla, the forward, and the VIX implied volatility surfaces. It can be applied to local, stochastic, and also to rough volatilities (driven by a fractional Brownian motion) leading to simple and explicit results. Features Intermediate-advanced level text on quantitative finance, oriented to practitioners with a basic background in stochastic analysis, which could also be useful for researchers and students in quantitative finance Includes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts Covers applications on vanillas, forward start options, and options on the VIX. The book also has a Github repository with the Python library corresponding to the numerical examples in the text. The library has been implemented so that the users can re-use the numerical code for building their examples. The repository can be accessed here: https://bit.ly/2KNex2Y.
Author : Alexander A Gushchin
Publisher : Elsevier
Page : 210 pages
File Size : 19,80 MB
Release : 2015-08-26
Category : Mathematics
ISBN : 0081004761
In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations. Contains the most popular applications of the theory of stochastic integration Details necessary facts from probability and analysis which are not included in many standard university courses such as theorems on monotone classes and uniform integrability Written by experts in the field of modern mathematical finance
Author : Paul Malliavin
Publisher : Springer Science & Business Media
Page : 148 pages
File Size : 31,10 MB
Release : 2006-02-25
Category : Business & Economics
ISBN : 3540307990
Highly esteemed author Topics covered are relevant and timely
Author : Marek Capiński
Publisher : Cambridge University Press
Page : 187 pages
File Size : 38,23 MB
Release : 2012-08-23
Category : Business & Economics
ISBN : 1107002648
This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.