Stochastic Processes with Applications to Finance
Editorial Reviews
Book Description
In an accessible treatment that strikes a balance between the abstract and the practical, this book presents 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, it imparts an intuitive and practical understanding of the subject. Applications to the pricing of derivative securities, corporate bonds, and credit derivatives are thoroughly explored. This book is ideal both as a text for a graduate-level class and as a reference for researchers and practitioners in financial engineering, operations research, and mathematical and statistical finance.
Book Info
Presents the theory of discrete stochastic processes and their applications in finance in an accessible treatment that strikes a balance between the abstract and the practical. Describes the dynamics of credit ratings using Markov chains.
Stochastic Processes with Applications to Finance,Masaaki Kijima,Chapman & Hall/CRC,1584882247,Applied,Business & Economics,Business mathematics,Economic Statistics,Economics - General,Finance,Financial Economics (General),Mathematics,Probability & Statistics - General,Science/Mathematics,Stochastic processes,Mathematics / General,Stochastics
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