Stochastic analysis for finance with simulations. (2016)

• Record Type: Book
• Further Information: Note: Geon Ho Choe.
• Authors: Choe, Geon Ho
• Contents: Preface -- Acknowledgements -- List of Figures -- List of Tables -- List of Simulations -- Fundamental Concepts -- Financial Derivatives -- The Lebesgue Integral -- Basic Probability Theory -- Conditional Expectation -- Stochastic Processes -- Brownian Motion -- Girsanov's Theorem -- The Reflection Principle of Brownian Motion -- The Ito Integral -- The Ito Formula -- Stochastic Differential Equations -- The Feynmann-Kac Theorem -- The Binomial Tree Method for Option Pricing -- The Black-Scholes-Merton Differential Equation -- The Martingale Method -- Pricing of Vanilla Options -- Pricing of Exotic Options -- American Options -- The Capital Asset Pricing Model -- Dynamic Programming -- Bond Pricing -- Interest Rate Models -- Numeraires -- Numerical Estimation of Volatility -- Time Series -- Random Numbers -- The Monte Carlo Method for Option Pricing -- Numerical Solution of the Black-Scholes-Merton Equation -- Numerical Solution of Stochastic Differential Equations. Appendices -- Solutions for Selected Problems -- Glossary -- References -- Index.
• Publisher Details: Switzerland : Springer
• Publication Date: 2016
• Extent: 1 online resource (xxxii, 657 pages), illustrations (some color)
• Subjects: 519.2/2; Mathematics; Stochastic analysis; Business mathematics; Business mathematics; Stochastic analysis; Mathematics -- Applied; Finance & accounting; Finance; Mathematics -- General; Mathematics; Electronic books
• Languages: English
• ISBNs: 9783319255897; 3319255894; 3319255878; 9783319255873
• Related ISBNs: 9783319255873
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed July 21, 2016).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.