Stochastic Calculus and Financial Applications. J. Michael Steele

Stochastic Calculus and Financial Applications


Stochastic.Calculus.and.Financial.Applications.pdf
ISBN: 0387950168,9780387950167 | 312 pages | 8 Mb


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Stochastic Calculus and Financial Applications J. Michael Steele
Publisher: Springer




Oksendal B., (2003), Stochastic Differential Equations: An Introduction with Applications, 6th edition, Berlin and Heidelberg: Springer-Verlag. One of the first techniques that need to be learnt is the application of Ito's lemma for a process with jumps. Steven Shreve's books on Stochastic calculus (Volume I + Volume II) are amazing in terms of breadth. In this post, I will try to summarize a few .. It also covers the basic concepts and methods of modern probability and stochastic analysis, placing emphasis on the possible applications in finance. And stochastic calculus needed for the valuation of financial derivatives. RC96: Louis B Rall and George F Corliss, An introduction to automatic differentiation, SIAM: Computational Differentiation: Techniques, Applications and Tools (1996), 1-18. Stochastic calculus techniques[KS01] (such as Brownian Motion, Levy Processes[App04], Wiener Processes or the Ito Calculus[Ste03b,Ste03a]) are not the only abstraction useful in thinking about financial markets. Shreve, S.E., (2005), Stochastic Calculus for Finance, New York: Springer-Verlag. Real markets do not meet the typical .. Basic intuition is built in Volume I using a discrete-time binomial asset pricing model. In Volume II, the author introduces all the concepts needed to build a financial model in continuous-time.