| 000 | 01399 a2200205 4500 | ||
|---|---|---|---|
| 020 | _a0521813859 | ||
| 020 | _a9780521813853 | ||
| 082 | 0 | 4 | _a332.63221 |
| 090 |
_c3080 _d3080 |
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| 100 | 1 | _aEtheridge, Alison. | |
| 245 | 1 | 2 |
_aA course in financial calculus / _cAlison Etheridge. |
| 250 | _a1st ed. | ||
| 260 |
_a[S.l.] : _bCambridge University Press, _c2002. |
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| 300 |
_a204 p. ; _c25 cm. |
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| 500 | _aHardcover. | ||
| 520 | _aThis text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions. | ||
| 856 | 4 | 0 |
_3Amazon.com _uhttp://www.amazon.com/exec/obidos/ASIN/0521813859/chopaconline-20 |
| 856 | 4 | 0 |
_3Amazon customer reviews _uhttp://www.chopac.org/cgi-bin/tools/azrev.pl?q=0521813859 |
| 942 |
_aNBS _cBK _k332.63221 ETH |
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| 999 |
_c345569 _d345569 |
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