The presentation of Applications in Finance is now more comprehensive and selfcontained. The change of numeraire technique is demonstrated on interest rate, currency and exotic options. A new chapter on bonds and interest rates contains derivations of the main pricing models, including currently used market models (BGM). Solutions to selected exercises are included. Many topics are expanded with more worked out examples and exercises. Changes came about, as a result of using this book for teaching courses in Stochastic Calculus and Financial Mathematics over a number of years. This is now a more complete text in Stochastic Calculus, from both a theoretical and an applications point of view. Preface Preface to the Second Edition The second edition is revised, expanded and enhanced. In this case permission to photocopy is not required from the publisher. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the Publisher.įor photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. INTRODUCTION TO STOCHASTIC CALCULUS WITH APPLICATIONS (Second Edition) Copyright © 2005 by Imperial College Press All rights reserved. 5 Toh Tuck Link, Singapore 596224 USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK office: 57 Shelton Street, Covent Garden, London WC2H 9HEīritish Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. Published by Imperial College Press 57 Shelton Street Covent Garden London WC2H 9HE Distributed by World Scientific Publishing Co. STOCHASTIC CALCULUS WITH APPLICATIONS SECOND EDITIONįima C Klebaner Monash University, Australia New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka–Volterra model in biology, non-linear filtering in engineering and five new figures. This second edition contains a new chapter on bonds, interest rates and their options. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. For mathematicians, this book could be a first text on stochastic calculus it is good companion to more advanced texts by a way of examples and exercises. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. Self-contained and unified in presentation, the book contains many solved examples and exercises. It covers advanced applications, such as models in mathematical finance, biology and engineering. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. This book presents a concise treatment of stochastic calculus and its applications.
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