Introduction to Stochastic Calculus Applied to Finance, Second Edition · Damien Lamberton,Bernard Lapeyre Limited preview – PDF | On Jan 1, , S. G. Kou and others published Introduction to stochastic calculus applied to finance, by Damien Lamberton and Bernard Lapeyre. Introduction to Stochastic Calculus Applied to Finance, Second Edition, Damien Lamberton, Bernard. Lapeyre, CRC Press, , , .
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Quadratic variation of the Brownian path.
Introduction to stochastic calculus applied to finance, by Damien Lamberton and Bernard Lapeyre
Black-Scholes formula for a European call-option; American options and stopping times; barrier, exchange and look-back options.
The many-period Binomial Model: Review of Stochastic Calculus: Optimal stopping, Snell envelope, optimal exercise time. Optimal Stopping in continuous time.
Distribution of the maximum of Brownian motion and its Laplace transform.
Bonds and Term-Structure of Interest Rates: Bounds on option prices. Notion and properties of local martingales.
Brownian motion and stochastic differential equations. Hedging of American claims.
Do Exercisespp. Discrete- and continuous-time stochastic models for asset-prices. European call- and put-options. European Options in Continuous-Time Models: Stochastic Calculus; he Ito rule. Caps, Floors, Swaps, Forward contracts.
Brief review of Stochastic Calculus: Fair price as an expectation under the equivalent martingale measure, and as the solution to a Partial Differential Equation.
International Journal of Stochastic Analysis
Notion of value of a contingent claim in terms of the minimal amount required for super-replication. They succeed in producing a solid introduction to stochastic approaches used in the financial world. Continuous-time processes, Poisson process, Brownian motion as a limit of simple random Walks. Diffusion models for the short-rate process; calibration to the initial term-structure; Gaussian and Markov-Chain models.
Brief overview of the notions and properties of martingales and stopping times: Explicit computa-tions in the logarithmic and power-cases. Notions of Arbitrage and Lambeerton.
Option pricing and partial differential equations. Change of numeraire technique and the Forward measure.
Introduction to Stochastic Calculus Applied to Finance
Extended trading strategies, free boundary problems, optimal exercise time, early exercise premium. Read Chapter 4 from Lamberton-Lapeyre pp.
The second edition of this book provides a concise and accessible introduction to the probabilistic techniques needed lpeyre understand the most widely used financial models. The Trinomial model, failure of completeness, meaning of attanainability in this context.
Necessary and sufficient conditions for Completeness. Lapryre book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models.
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