Text

Stochastic Analysis for Finance with Simulations

---

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 with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts.Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.

---

Availability

No copy data

Detail Information

Series Title

82 b/w illustrations, 107 illustrations in colour

Call Number

XXXII, 657

Publisher

Springer Cham : Springer Cham., 2016

Collation

-

Language

English

ISBN/ISSN

978-3-319-25589-7

Classification

NONE

Content Type

text

Media Type

computer

Carrier Type

-

Edition

1

Subject(s)

Stochastic Differential Equation
Stochastic Calculus

Specific Detail Info

-

Statement of Responsibility

Geon Ho Choe

Other Information

Cataloger

Suwardi

Source

https://link.springer.com/book/10.1007/978-3-319-25589-7

Validator

-

Other version/related

File Attachment

Comments

---

You must be logged in to post a comment