Introduction to Stochastic Finance with Market Examples by Nicolas Privault (Eng

Introduction to Stochastic Finance with Market Examples by Nicolas Privault

Estimated delivery 4-14 business days

Format Hardcover

Condition Brand New

Description This book 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.

Publisher Description

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 numéraire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes.New to this EditionNew chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic VolatilityContains over 235 exercises and 16 problems with complete solutions available online from the instructor resourcesAdded 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.

Author Biography

Nicolas Privault received a PhD degree from the University of Paris VI, France. He was with the University of Evry, France, the University of La Rochelle, France, and the University of Poitiers, France. He is currently a Professor with the School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore. His research interests are in the areas of stochastic analysis and its applications.

Details ISBN 1032288264 ISBN-13 9781032288260 Title Introduction to Stochastic Finance with Market Examples Author Nicolas Privault Format Hardcover Year 2022 Pages 652 Edition 2nd Publisher Taylor & Francis Ltd GE_Item_ID:140107220; About Us

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