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View this book online, via DawsonERA, both on- and off-campus. New Search. Search help. Document Supply request. Suggest a purchase. Advanced Search. Available Online. Item is removed from Favorites. Send to. Export BibTeX. EndNote Online. Available online. Full text availability. Introduction to stochastic calculus applied to finance. Lamberton, Damien. Lapeyre, Bernard. Creation Date. Second edition. Front cover; Preface to the second edition; Contents; Introduction; Chapter 1: Discrete-time models; Chapter 2: Optimal stopping problem and American options; Chapter 3: Brownian motion and stochastic di'erentialequations ; Chapter 4: The Black-Scholes model; Chapter 5: Option pricing and partial differential equations; Chapter 6: Interest rate models; Chapter 7: Asset models with jumps; Chapter 8: Credit risk models; Chapter 9: Simulation and algorithms for financial models; Appendix; Bibliography; Back cover.
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Introduction to stochastic calculus applied to finance, by Damien Lamberton and Bernard Lapeyre
This text is aimed at graduate students in mathematics, physics, engineering, economics, finance, and the biosciences that are interested in using Monte-Carlo methods for the resolution of real-life scenarios. Le but de ce livre est de donner une introduction aux m thodes de Monte-Carlo orient e vers la r solution des quations aux d riv es partielles. Apr s des rappels sur les techniques de simulation, de r duction de variance et de suites discrepance f The second edition of this book provides a concise and accessible introduction to the probabilistic techniques needed to understand the most widely used financial models. This edition incorporates many new techniques and concepts to be used to describe the behavior of financial markets. The authors cover many key finance topics
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Introduction to Stochastic Calculus Applied to Finance