000			02304nam a22003617a 4500
001			sulb-eb0016978
003			BD-SySUS
005			20160405140627.0
008			110215s2012||||enk o ||1 0|eng|d
020			_a9781139017367 (ebook)
020			_z9781107002647 (hardback)
020			_z9780521175739 (paperback)
040			_aUkCbUP _beng _erda _cUkCbUP _dBD-SySUS.
050	0	0	_aHG106 _b.C364 2012
082	0	0	_a332.01/51922 _223
100	1		_aCapiński, Marek, _eauthor.
245	1	0	_aStochastic Calculus for Finance / _cMarek Capiński, Ekkehard Kopp, Janusz Traple.
264		1	_aCambridge : _bCambridge University Press, _c2012.
300			_a1 online resource (186 pages) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	0		_aMastering Mathematical Finance
500			_aTitle from publisher's bibliographic system (viewed on 04 Apr 2016).
520			_aThis book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Itô integrals in some detail, with a focus on results needed for the Black–Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Itô formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Itô calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.
650		0	_aStochastic processes
700	1		_aKopp, Ekkehard, _eauthor.
700	1		_aTraple, Janusz, _eauthor.
776	0	8	_iPrint version: _z9781107002647
830		0	_aMastering Mathematical Finance.
856	4	0	_uhttp://dx.doi.org/10.1017/CBO9781139017367
942			_2Dewey Decimal Classification _ceBooks
999			_c38416 _d38416