Название: Introduction to Stochastic Finance with Market Examples, Second Edition
Автор: Nicolas Privault
Издательство: CRC Press
Год: 2023
Страниц: 663
Язык: английский
Формат: pdf (true)
Размер: 31.6 MB

Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, American options, derivatives, term structure modeling, and change of numeraire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes.

New to this Edition

New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility
Contains over 235 exercises and 16 problems with complete solutions available online from the instructor resources
Added over 150 graphs and figures, for more than 250 in total, to optimize presentation
57 R coding examples now integrated into the book for implementation of the methods
Substantially class-tested, so ideal for course use or self-study

With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field.

The text is targeted at the advanced undergraduate and graduate levels in applied mathematics, financial engineering, and economics. It contains 235 exercises and 16 problems, as well as 19 tables and 255 figures, and includes 57 R coding examples for illustrations based on market data.