{"product_id":"problems-and-solutions-in-mathematical-finance-volume-1-stochastic-calculus-hardback-9781119965831","title":"Problems and Solutions in Mathematical Finance, Volume 1; Stochastic Calculus (Hardback) 9781119965831","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eProblems and Solutions in Mathematical Finance, Volume 1\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eStochastic Calculus\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eEric Chin (Author), Sverrir �lafsson (Author), Dian Nel (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781119965831, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 10 October 2014\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e400 pages\u003cbr\u003e25.4 x 17.3 x 2.5 cm, 0.771 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eMathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e\u003ci\u003eProblems and Solutions in Mathematical Finance Volume I: Stochastic Calculus\u003c\/i\u003e\u003c\/b\u003e is the first of a four-volume set of books focusing on problems and solutions in mathematical finance.\u003c\/p\u003e \u003cp\u003eThis volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance.\u003c\/p\u003e \u003cp\u003eWritten mainly for students, industry practitioners and those involved in teaching in this field of study, \u003cb\u003e\u003ci\u003eStochastic Calculus\u003c\/i\u003e\u003c\/b\u003e provides a valuable reference book to complement one’s further understanding of mathematical finance.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003ePrologue xi\u003c\/p\u003e \u003cp\u003eAbout the Authors xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 General Probability Theory 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction 1\u003c\/p\u003e \u003cp\u003e1.2 Problems and Solutions 4\u003c\/p\u003e \u003cp\u003e1.2.1 Probability Spaces 4\u003c\/p\u003e \u003cp\u003e1.2.2 Discrete and Continuous Random Variables 11\u003c\/p\u003e \u003cp\u003e1.2.3 Properties of Expectations 41\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Wiener Process 51\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 51\u003c\/p\u003e \u003cp\u003e2.2 Problems and Solutions 55\u003c\/p\u003e \u003cp\u003e2.2.1 Basic Properties 55\u003c\/p\u003e \u003cp\u003e2.2.2 Markov Property 68\u003c\/p\u003e \u003cp\u003e2.2.3 Martingale Property 71\u003c\/p\u003e \u003cp\u003e2.2.4 First Passage Time 76\u003c\/p\u003e \u003cp\u003e2.2.5 Reflection Principle 84\u003c\/p\u003e \u003cp\u003e2.2.6 Quadratic Variation 89\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Stochastic Differential Equations 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 95\u003c\/p\u003e \u003cp\u003e3.2 Problems and Solutions 102\u003c\/p\u003e \u003cp\u003e3.2.1 Itō Calculus 102\u003c\/p\u003e \u003cp\u003e3.2.2 One-Dimensional Diffusion Process 123\u003c\/p\u003e \u003cp\u003e3.2.3 Multi-Dimensional Diffusion Process 155\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Change of Measure 185\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 185\u003c\/p\u003e \u003cp\u003e4.2 Problems and Solutions 192\u003c\/p\u003e \u003cp\u003e4.2.1 Martingale Representation Theorem 192\u003c\/p\u003e \u003cp\u003e4.2.2 Girsanov’s Theorem 194\u003c\/p\u003e \u003cp\u003e4.2.3 Risk-Neutral Measure 221\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Poisson Process 243\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 243\u003c\/p\u003e \u003cp\u003e5.2 Problems and Solutions 251\u003c\/p\u003e \u003cp\u003e5.2.1 Properties of Poisson Process 251\u003c\/p\u003e \u003cp\u003e5.2.2 Jump Diffusion Process 281\u003c\/p\u003e \u003cp\u003e5.2.3 Girsanov’s Theorem for Jump Processes 298\u003c\/p\u003e \u003cp\u003e5.2.4 Risk-Neutral Measure for Jump Processes 322\u003c\/p\u003e \u003cp\u003eAppendix A Mathematics Formulae 331\u003c\/p\u003e \u003cp\u003eAppendix B Probability Theory Formulae 341\u003c\/p\u003e \u003cp\u003eAppendix C Differential Equations Formulae 357\u003c\/p\u003e \u003cp\u003eBibliography 365\u003c\/p\u003e \u003cp\u003eNotation 369\u003c\/p\u003e \u003cp\u003eIndex 373\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Business \u0026amp; management [\u003ca title=\"See our other books on Business \u0026amp; management\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Business%20\u0026amp;%20management%20%5BKJ%5D%22\"\u003eKJ\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52173729792280,"sku":"9781119965831","price":38.19,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781119965831.jpg?v=1781168874","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/problems-and-solutions-in-mathematical-finance-volume-1-stochastic-calculus-hardback-9781119965831","provider":"Freshly Printed Books","version":"1.0","type":"link"}