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Introduction to stochastic calculus applied to finance / Damien Lamberton, Bernard Lapeyre.

By: Contributor(s): Material type: TextTextPublication details: Boca Raton : Chapman & Hall/CRC, 2008Edition: 2nd edDescription: 253 p. ; 25 cmISBN:
  • 9781584886266 (alk. paper)
  • 1584886269 (alk. paper)
Subject(s): DDC classification:
  • 332.645 22 L223
Contents:
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
List(s) this item appears in: Economics & business administration
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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

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