Elementary Stochastic Calculus, With Finance In View

Thomas Mikosch

ISBN 10: 9810235437 / ISBN 13: 9789810235437

Published by World Scientific Publishing Co Pte Ltd, SG, 1998

About this Item

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.

Seller Inventory # LU-9789810235437

Bibliographic Details

• Title: Elementary Stochastic Calculus, With Finance In View
• Publisher: World Scientific Publishing Co Pte Ltd, SG
• Publication Date: 1998
• Language: English
• ISBN 10: 9810235437
• ISBN 13: 9789810235437
• Binding: Hardback
• Condition: New
• Dimensions: 15.24W x 1.42H x 22.86D centimeters 15.24 centimeters width by 1.42 centimeters height by 22.86 centimeters depth

About this title

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