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Stochastic Finance : An Introduction with Examples by Amanda Turner and Dirk Zeindler (2023, Trade Paperback)

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Amanda Turner is Professor of Statistics at the University of Leeds. She received her Ph.D. from the University of Cambridge in Scaling Limits of Stochastic Processes in 2007. Before moving to Leeds, she taught probability and stochastic processes for finance at Lancaster University and the University of Geneva for over fifteen years.

About this product

Product Identifiers

PublisherCambridge University Press

ISBN-101009048945

ISBN-139781009048941

eBay Product ID (ePID)18058370856

Product Key Features

Number of Pages300 Pages

Publication NameStochastic Finance : an Introduction with Examples

LanguageEnglish

Publication Year2023

SubjectFinance / General, Applied

TypeTextbook

Subject AreaMathematics, Business & Economics

AuthorAmanda Turner, Dirk Zeindler

FormatTrade Paperback

Dimensions

Item Height0.5 in

Item Length9.7 in

Item Width7.4 in

Additional Product Features

Intended AudienceCollege Audience

Reviews'The text does a great job of providing a comprehensive picture of basic mathematical finance concepts in both discrete and continuous settings. The authors provide a balanced amount of details in both the financial (arbitrage, replicating strategies, etc.) and mathematical aspects (probability, stochastic calculus, etc.) I really appreciate the fact that the technical details are presented in a way that is accessible to an advanced undergraduate student.' Triet Pham, Department of Mathematics, The School of Arts and Sciences, Rutgers, The State University of New Jersey, 'This is a rigorous textbook on stochastic finance in which the reader will enjoy the path the authors take while introducing conditional expectations with respect to sigma-algebras, and the sequence of models from the binomial to Black-Scholes. In all, a careful construction of the theory with proofs that are both thorough and readable.' Ludolf E. Meester, Delft University of Technology

Dewey Edition23

IllustratedYes

Dewey Decimal332.01519232

Table Of ContentPreface; Acknowledgements; Part I. Discrete-Time Models for Finance: 1. Introduction to finance; 2. Discrete probability; 3. Binomial or CRR model; 4. Finite market model; 5. Discrete Black-Scholes model; Part II. Continuous-Time Models for Finance: 6. Continuous probability; 7. Brownian motion; 8. Stochastic integration; 9. The Black-Scholes model; A Supplementary material; Bibliography; Symbol index; Index.

SynopsisA relaxed and user-friendly introduction to financial mathematics for advanced undergraduate mathematics students. This is core material for students of financial mathematics, and fundamental for anyone planning a career in the field., Stochastic Finance provides an introduction to mathematical finance that is unparalleled in its accessibility. Through classroom testing, the authors have identified common pain points for students, and their approach takes great care to help the reader to overcome these difficulties and to foster understanding where comparable texts often do not. Written for advanced undergraduate students, and making use of numerous detailed examples to illustrate key concepts, this text provides all the mathematical foundations necessary to model transactions in the world of finance. A first course in probability is the only necessary background. The book begins with the discrete binomial model and the finite market model, followed by the continuous Black-Scholes model. It studies the pricing of European options by combining financial concepts such as arbitrage and self-financing trading strategies with probabilistic tools such as sigma algebras, martingales and stochastic integration. All these concepts are introduced in a relaxed and user-friendly fashion.a relaxed and user-friendly fashion.a relaxed and user-friendly fashion.a relaxed and user-friendly fashion., Stochastic Finance provides an introduction to mathematical finance that is unparalleled in its accessibility. Through classroom testing, the authors have identified common pain points for students, and their approach takes great care to help the reader to overcome these difficulties and to foster understanding where comparable texts often do not. Written for advanced undergraduate students, and making use of numerous detailed examples to illustrate key concepts, this text provides all the mathematical foundations necessary to model transactions in the world of finance. A first course in probability is the only necessary background. The book begins with the discrete binomial model and the finite market model, followed by the continuous Black-Scholes model. It studies the pricing of European options by combining financial concepts such as arbitrage and self-financing trading strategies with probabilistic tools such as sigma algebras, martingales and stochastic integration. All these concepts are introduced in a relaxed and user-friendly fashion.

LC Classification NumberHG176.5