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Stochastische Integration

Stochastische Integration

Michael Hoffmann

72,58 €
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Editorial:
Springer Nature B.V.
Año de edición:
2016
Materia
Probabilidad y estadística
ISBN:
9783658141318
72,58 €
IVA incluido
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Sobre IBD

Michael Hoffmann stellt auf leicht verständliche Art und Weise die Grundlagen der stochastischen Analysis dar, d.h. die Begriffe der stochastischen Integration und der stochastischen Differentialgleichungen. Die gewonnene Theorie wird anschließend dazu verwendet, das verallgemeinerte Black-Scholes-Modell zu definieren. Es folgt eine Diskussion zu Arbitrage und der Bewertung von Finanzderivaten, ehe das klassische Black-Scholes-Modell als Spezialfall identifiziert wird. Das Werk ist besonders geeignet für Studenten, die einen leichten Einstieg in die theoretischen Grundlagen der Finanzmathematik gewinnen möchten.

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