Introduction to stochastic calculus applied to finance /
Lamberton, Damien.
Introduction to stochastic calculus applied to finance / Damien Lamberton, Bernard Lapeyre. - 2nd ed. - Boca Raton : Chapman & Hall/CRC, 2008 - 253 p. ; 25 cm.
Front cover; Preface to the second edition; Contents; Introduction; Chapter 1: Discrete-time models; Chapter 2: Optimal stopping problem and American options; Chapter 3: Brownian motion and stochastic di˙erentialequations; Chapter 4: The Black-Scholes model; Chapter 5: Option pricing and partial differential equations; Chapter 6: Interest rate models; Chapter 7: Asset models with jumps; Chapter 8: Credit risk models; Chapter 9: Simulation and algorithms for financial models; Appendix; Bibliography; Back cover
9781584886266 (alk. paper) 1584886269 (alk. paper)
Investments--Mathematics.
Stochastic analysis.
Options (Finance)--Mathematical models.
332.645 / L223
Introduction to stochastic calculus applied to finance / Damien Lamberton, Bernard Lapeyre. - 2nd ed. - Boca Raton : Chapman & Hall/CRC, 2008 - 253 p. ; 25 cm.
Front cover; Preface to the second edition; Contents; Introduction; Chapter 1: Discrete-time models; Chapter 2: Optimal stopping problem and American options; Chapter 3: Brownian motion and stochastic di˙erentialequations; Chapter 4: The Black-Scholes model; Chapter 5: Option pricing and partial differential equations; Chapter 6: Interest rate models; Chapter 7: Asset models with jumps; Chapter 8: Credit risk models; Chapter 9: Simulation and algorithms for financial models; Appendix; Bibliography; Back cover
9781584886266 (alk. paper) 1584886269 (alk. paper)
Investments--Mathematics.
Stochastic analysis.
Options (Finance)--Mathematical models.
332.645 / L223
