Stochastic Analysis For Finance With Simulations (universitext)
by Geon Ho Choe /
2016 / English / PDF
12 MB Download
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.
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.
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
StochasticAnalysis for Finance with
Simulations
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.
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.
