Publisher description for Introduction to stochastic calculus applied to finance / Damien Lamberton and Bernard Lapeyre ; translated by Nicolas Rabeau and Francois Mantion.


Bibliographic record and links to related information available from the Library of Congress catalog


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In recent years the growing importance of derivative products financial markets has increased the demand for mathematical skills in financial institutions. The purpose of this book is to introduce the mathematical methods of financial modelling to provide a clear explanation of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.




Library of Congress subject headings for this publication:
Investments -- Mathematics.
Stochastic analysis.
Options (Finance) -- Mathematical models.