MARC Record from Library of Congress

LEADER: 03810cam a2200385 i 4500
001 2013045572
003 DLC
005 20140826080140.0
008 131113s2014 flua b 001 0 eng
010 $a 2013045572
020 $a9781466594029 (hardback)
040 $aDLC$beng$cDLC$erda$dDLC
042 $apcc
050 00 $aHG4636$b.P85 2014
082 00 $a332.63/2042$223
084 $aBUS027000$aMAT000000$aMAT029000$2bisacsh
100 1 $aPrivault, Nicolas.
245 10 $aStochastic finance :$ban introduction with market examples /$cNicolas Privault.
264 1 $aBoca Raton :$bTaylor & Francis,$c[2014]
300 $axvi, 426 pages :$billustrations ;$c24 cm.
336 $atext$2rdacontent
337 $aunmediated$2rdamedia
338 $avolume$2rdacarrier
490 0 $aChapman & Hall/CRC financial mathematics series
504 $aIncludes bibliographical references (pages 415-420) and index.
520 $a"This comprehensive text presents an introduction to pricing and hedging in financial models, with an emphasis on analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance. The book starts with the basics of finance and stochastic calculus and builds up to special topics, such as options, derivatives, and credit default and jump processes. Many real examples illustrate the topics and classroom-tested exercises are included in each chapter, with selected solutions at the back of the book"--$cProvided by publisher.
520 $a"Preface This text is an introduction to pricing and hedging in discrete and continuous time financial models without friction (i.e. without transaction costs), with an emphasis on the complementarity between analytical and probabilistic methods. Its contents are mostly mathematical, and also aim at making the reader aware of both the power and limitations of mathematical models in finance, by taking into account their conditions of applicability. The book covers a wide range of classical topics including Black-Scholes pricing, exotic and american options, term structure modeling and change of num eraire, as well as models with jumps. It is targeted at the advanced undergraduate and graduate level in applied mathematics, financial engineering, and economics. The point of view adopted is that of mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless pro t based on arbitrage opportunities and basic (buying low/selling high) trading. Similarly, this document is not concerned with any "prediction" of stock price behaviors that belong other domains such as technical analysis, which should not be confused with the statistical modeling of asset prices. The text also includes 104 gures and simulations, along with about 20 examples based on actual market data. The descriptions of the asset model, self- nancing portfolios, arbitrage and market completeness, are rst given in Chapter 1 in a simple two time-step setting. These notions are then reformulated in discrete time in Chapter 2. Here, the impossibility to access future information is formulated using the notion of adapted processes, which will play a central role in the construction of stochastic calculus in continuous time"--$cProvided by publisher.
650 0 $aSecurities$xPrices$xMathematical models.
650 0 $aFinance$xMathematical models.
650 0 $aHedging (Finance)$xMathematical models.
650 0 $aStochastic analysis.
650 7 $aBUSINESS & ECONOMICS / Finance.$2bisacsh
650 7 $aMATHEMATICS / General.$2bisacsh
650 7 $aMATHEMATICS / Probability & Statistics / General.$2bisacsh
856 42 $3Cover image$uhttp://images.tandf.co.uk/common/jackets/websmall/978146659/9781466594029.jpg