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I lager, skickas inom 4 till 5 vardagar
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BROWNIAN MOTION CALCULUS Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. The sequence of chapters starts with a description of Brownian motion, the random process which serves as the basic driver of the irregular behaviour of financial quantities. That exposition is based on the easily understood discrete random walk. Thereafter the gains from trading in a random environment are formulated in a discrete-time setting. The continuous-time equivalent requires a new concept, the Ito stochastic integral. Its construction is explained step by step, using the so-called norm of a random process (its magnitude), of which a motivated exposition is given in an Annex. The next topic is Ito’s formula for evaluating stochastic integrals; it is the random process counter part of the well known Taylor formula for functions in ordinary calculus. Many examples are given. These ingredients are then used to formulate some well established models for the evolution of stock prices and interest rates, so-called stochastic differential equations, together with their solution methods. Once all that is in place, two methodologies for option valuation are presented. One uses the concept of a change of probability and the Girsanov transformation, which is at the core of financial mathematics. As this technique is often perceived as a magic trick, particular care has been taken to make the explanation elementary and to show numerous applications. The final chapter discusses how computations can be made more convenient by a suitable choice of the so-called numeraire. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites. Summary slides for revision and teaching can be found on the book website www.wiley.com/go/brownianmotioncalculus.
609 kr
I lager, skickas inom 4 till 5 vardagar
Teresa Bradley
S.R.S. Varadhan
Lynn Harold Loomis, Shlomo Sternberg
Claus Scheiderer, Manfred Knebusch
John Haugan
Frank Ayres, Lloyd Jaisingh
C. Kraaikamp, F.M. Dekking, H.P. Lopuhaä
Terence Tao
Stephen Cole Kleene
Daniel S. Freed
Keying Ye, Raymond Myers, Ronald Walpole, Sharon Myers
César R. De Oliveira
Walter Rudin
Irénée Dondjio, Wouter Krasser
Terence Tao
Christopher Essex, Robert Adams
A. N. Kolmogorov
Herbert S Wilf
Dennis Wackerly, Richard Scheaffer, William Mendenhall III
David R. Klein
Sarah Easter Collins
Frida Skybäck
Liz Moore
Colleen Hoover
Kristin Fägerskjöld
Armando Lucas Correa
Sharon Bolton
Ruth Lillegraven
Santa Montefiore
Kelly Rimmer
Martha Hall Kelly
Svenja O'Donnell
Nathan Harris
Holly Jackson
Louise Boije af Gennäs
Tina Norin
Kristin Fägerskjöld
Pernilla Lindroos
Anna Lönnqvist
Jessie Burton
Malin Nordström
Marc Levy
Emma Donoghue
Snezana Lindskog, Andie Lindskog
Tony Samuelsson
Andrev Walden
Tina Harnesk
Kathrine Nedrejord
Anthony Doerr
Marieke Lucas Rijneveld
Lauren Groff
Claire Messud
Claire Lynch
Sebastian Barry
Ray Celestin
Simon Stranger
Alice Munro
Linda Boström Knausgård
Marit Kapla
Ulf Stark
Sarah Easter Collins
Liz Moore
Ursula Scavenius
Colleen Hoover
Michel Jean
