Overview
This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts. Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.
Full Product Details
Author: Geon Ho Choe
Publisher: Springer International Publishing AG
Imprint: Springer International Publishing AG
Edition: 1st ed. 2016
Dimensions:
Width: 15.50cm
, Height: 3.50cm
, Length: 23.50cm
Weight: 1.044kg
ISBN: 9783319255873
ISBN 10: 3319255878
Pages: 657
Publication Date: 22 July 2016
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
This excellent textbook is addressed to undergraduate and graduate students in mathematics and finance who want to study the main tools of stochastic calculus and its application to quantitative finance. Also, it can be used as a reference book for practitioners and professionals from the financial industry who want a better understanding of the theoretical aspects of stochastic calculus, and how it can be used in the pricing of financial derivatives. (Carlos Vazquez Cendon, Mathematical Reviews, August, 2017)
The text is well written. It contains a wealth of material previously published in several books and articles. An extended bibliography makes it possible to access the original references. As a final note, the book also contains a number of historical pictures of some of the main mathematicians related to the topics described. (Alessandro Perotti, Mathematical Reviews, July, 2017) This excellent textbook is addressed to undergraduate and graduate students in mathematics and finance who want to study the main tools of stochastic calculus and its application to quantitative finance. Also, it can be used as a reference book for practitioners and professionals from the financial industry who want a better understanding of the theoretical aspects of stochastic calculus, and how it can be used in the pricing of financial derivatives. (Carlos Vazquez Cendon, Mathematical Reviews, August, 2017)
Author Information
The author's main interests are simulations of random phenomena in the areas of quantitative finance, random number generators, dynamical systems theory, and information theory. He has published a book titled ""Computational Ergodic Theory"".
