Business & Economics Books:

Stochastic Financial Models

Sorry, this product is not currently available to order

Here are some other products you might consider...

Stochastic Financial Models

Customer rating

Click to share your rating 0 ratings (0.0/5.0 average) Thanks for your vote!

Share this product

Stochastic Financial Models by Douglas Kennedy
Unavailable
Sorry, this product is not currently available to order

Description

Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations rather than seeking the greatest generality. Developed from the esteemed author's advanced undergraduate and graduate courses at the University of Cambridge, the text begins with the classical topics of utility and the mean-variance approach to portfolio choice. The remainder of the book deals with derivative pricing. The author fully explains the binomial model since it is central to understanding the pricing of derivatives by self-financing hedging portfolios. He then discusses the general discrete-time model, Brownian motion and the Black--Scholes model. The book concludes with a look at various interest-rate models. Concepts from measure-theoretic probability and solutions to the end-of-chapter exercises are provided in the appendices. By exploring the important and exciting application area of mathematical finance, this text encourages students to learn more about probability, martingales and stochastic integration. It shows how mathematical concepts, such as the Black--Scholes and Gaussian random-field models, are used in financial situations.

Author Biography

Douglas Kennedy is a Fellow of Trinity College in Cambridge, UK.
Release date Australia
January 20th, 2010
Contributors
Series edited by Dilip B. Madan Series edited by M.A.H. Dempster Series edited by Rama Cont
Country of Publication
United States
Illustrations
26 Illustrations, black and white
Imprint
Chapman & Hall/CRC
Pages
264
Dimensions
156x235x20
ISBN-13
9781420093452
Product ID
3878817

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here

Help & options

  • If you think we've made a mistake or omitted details, please send us your feedback. Send Feedback
  • If you have a question or problem with this product, visit our Help section. Get Help
Filed under...