Stochastic Processes with Applications to Finance, Second Edition
Opis
This updated new edition presents an accessible treatment of the theory of discrete stochastic processes and their applications in finance. By presenting important results in discrete processes and showing how to transfer those results to their continuous counterparts, the text imparts an intuitive and practical understanding of the subject. It thoroughly explores applications to the pricing of derivative securities, corporate bonds, and credit derivatives. The book is suitable as a graduate-level text or as a reference for professionals in financial engineering, operations research, and mathematical and statistical finance.