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Essentials Of Stochastic Finance

Facts, Models, Theory

Essentials Of Stochastic Finance by A N Shiryaev
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This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.

Contents: Facts. Models: Main Concepts, Structures, and Instruments. Aims and Problems of Financial Theory and Financial Engineering; Stochastic Models. Discrete Time; Stochastic Models. Continuous Time; Statistical Analysis of Financial Data; Theory: Theory of Arbitrage in Stochastic Financial Models. Discrete Time; Theory of Pricing in Stochastic Financial Models. Discrete Time; Theory of Arbitrage in Stochastic Financial Models. Continuous Time; Theory of Pricing in Stochastic Financial Models. Continuous Time.

Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.

World Scientific Publishing Company; January 1999
852 pages; ISBN 9789814495660
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Title: Essentials Of Stochastic Finance
Author: A N Shiryaev