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Problems and solutions in mathematical finance : stochastic calculus / Eric Chin, Dian Nel and Sverrir Olafsson.

By: Contributor(s): Material type: TextTextSeries: Wiley finance seriesPublication details: Chichester : John Wiley, 2014.Description: volumes ; 26 cmISBN:
  • 9781119965831 (cloth)
Subject(s): DDC classification:
  • 332.0151922 23 C539
Contents:
1. General probability theory -- 2. Wiener process -- 3. Stochastic di?erential equations -- 4. Change of measure -- 5. Poisson process -- Appendix A Mathematics formulae -- Appendix B Probability theory formulae -- Appendix C Differential equations formulae -- Bibliography -- Notation-- Index.
Summary: Mathematical 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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 332.0151922 C539 (Browse shelf(Opens below)) Available 136500
Total holds: 0

v1.

Includes bibliographical references and index.

1. General probability theory --
2. Wiener process --
3. Stochastic di?erential equations --
4. Change of measure --
5. Poisson process --
Appendix A Mathematics formulae --
Appendix B Probability theory formulae --
Appendix C Differential equations formulae --
Bibliography --
Notation--
Index.

Mathematical 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.

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