ELEMENTARY STOCHASTIC CALCULUS,. (V6) (Advanced Series on Statistical Science and Applied Probability, Band 6)
Mikosch, Thomas
ISBN 10: 9810235437 ISBN 13: 9789810235437
Published by World Scientific Publishing Company, 1998
Used
Hardcover
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About this Item
Description:
Gut/Very good: Buch bzw. Schutzumschlag mit wenigen Gebrauchsspuren an Einband, Schutzumschlag oder Seiten. / Describes a book or dust jacket that does show some signs of wear on either the binding, dust jacket or pages. Seller Inventory # M09810235437-V
Synopsis:
Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory.This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Itô calculus and/or stochastic finance.
Review:
"It can be strongly recommended to graduate students and practitioners in the field of finace and economics." -- Mathematics Abstracts, 2000
"this is a well-written book, which makes the difficult object of mathematical finance easy to understand also for non-mathematicians." -- Statistical Papers, 2000
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Bibliographic Details
Title: ELEMENTARY STOCHASTIC CALCULUS,. (V6) (...
Publisher: World Scientific Publishing Company
Publication Date: 1998
Binding: Hardcover
Condition: very good