INTRODUCTION TO STOCHASTIC CALCULUS WITH APPLICATIONS (2ND EDITION) - Hardcover

Klebaner, Fima C

Hardcover

ISBN 10: 1860945554 ISBN 13: 9781860945557

Publisher: Imperial College Press, 2005

Synopsis

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.

About this title

From the Author

I wanted to write a book that would introduce stochastic calculus, which is a very technical subject, in a simpleminded way. The book is a mathematical text, but the entrance level is lower than other rigorous stochastic calculus books. It is is suitable for advanced undergraduates, graduates and researchers in probability & statistics and mathematical finance.

Review

"It provides a good introduction to stochastic analysis, leaving out several of the more technical proofs."

.,." contains many worked out examples while the stochastic calculus is presented in a concentrated but transparent form.?

Edition details

• Publisher: Imperial College Press
• Publication date: 2005
• Language: English
• ISBN 10: 1860945554
• ISBN 13: 9781860945557
• Binding: Hardcover
• Edition number: 2
• Number of pages: 432