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Continuous Stochastic Calculus with Applications to Finance Michael Meyer

Continuous Stochastic Calculus with Applications to Finance By Michael Meyer

Continuous Stochastic Calculus with Applications to Finance by Michael Meyer


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Continuous Stochastic Calculus with Applications to Finance Summary

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.

About Michael Meyer

Meyer, Michael

Table of Contents

Martingale Theory. Brownian Motion. Stochastic Integration. Application to Finance. Appendices.

Additional information

NLS9780367455439
9780367455439
0367455439
Continuous Stochastic Calculus with Applications to Finance by Michael Meyer
New
Paperback
Taylor & Francis Ltd
2019-12-02
336
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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