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The prolonged boom in the US 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 the tools necessary for readers to understand how the stochastic integral is constructed with respect to a general continuous martingale.

The author develops the stochastic calculus from first principles, but at a relaxed pace that includes proofs that are detailed, but streamlined to applications to finance. The treatment requires minimal prerequisites-a basic knowledge of measure theoretic probability and Hilbert space theory-and devotes an entire chapter to application in finances, including the Black Scholes market, pricing contingent claims, the general market model, pricing of random payoffs, and interest rate derivatives.

Continuous Stochastic Calculus with Application to Finance is your first opportunity to explore stochastic integration at a reasonable and practical mathematical level. It offers a treatment well balanced between aesthetic appeal, degree of generality, depth, and ease of reading.

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  • We started tracking this book on April 20, 2016.
  • This book was £96.90 when we started tracking it.
  • The price of this book has changed 15 times in the past 3,126 days.
  • The current price of this book is £34.99 last checked 8 months ago.
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  • This lowest price this book has been offered at in the past year is £27.99.
  • The lowest price to date was £27.99 last reached on August 19, 2021.
  • This book has been £27.99 one time since we started tracking it.
  • The highest price to date was £103.55 last reached on September 10, 2016.
  • This book has been £103.55 one time since we started tracking it.

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  • Text-to-Speech: Disabled
  • Lending: Disabled
  • Print Length: 336 Pages
  • File Size: 5,013 KB

We last verified the price of this book about 8 months ago. At that time, the price was £34.99. This price is subject to change. The price displayed on the Amazon.co.uk website at the time of purchase is the price you will pay for this book. Please confirm the price before making any purchases.