ELEMENTARY STOCHASTIC CALCULUS, WITH FINANCE IN VIEW (Advanced Statistical Science and Applied Probability)

Mikosch T

ISBN 10: 9810235437 / ISBN 13: 9789810235437

Published by World Scientific Publishing Company, 1998

Fast Free Shipping â Good condition. It may show normal signs of use, such as light writing, highlighting, or library markings, but all pages are intact and the book is fully readable. A solid, complete copy that's ready to enjoy. Seller Inventory # GWV.9810235437.G

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

Bibliographic Details

Title: ELEMENTARY STOCHASTIC CALCULUS, WITH FINANCE...
Publisher: World Scientific Publishing Company
Publication Date: 1998
Binding: Hardcover
Condition: good