Continuous stochastic calculus with applications to finance
Auteur :
Meyer, Michael
Éditeur :
Taylor & Francis Inc
ISBN :
9781584882343
Date de publication :
25 oct. 2000
Dimensions :
23,4 x 15,6 cm
Langue :
Anglais
Pays d'origine :
USA
The prolonged boom in the U.S. and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all of the tools rea