Finance in Continuous Time: A Primer (out of print)

Key Findings

- Continuous stochastic processes - Ito's Lemma (intuitive) - Differential equations for valuation - Recursive techniques - Derivative valuation - Optimal financial decisions

Abstract

This textbook introduces students to the basics of stochastic calculus while inviting them to solve cash flow valuation problems. This provides a useful foundation for the further study of derivatives pricing. Numerous exercises are provided with solutions.