Introduction to Stochastic Calculus with Applications

C, Klebaner Fima,Klebaner, Fima C.

ISBN 10: 186094129X / ISBN 13: 9781860941290

Published by World Scientific Publishing Comp, 1999

About this Item

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Bibliographic Details

• Title: Introduction to Stochastic Calculus with Applications
• Publisher: World Scientific Publishing Comp
• Publication Date: 1999
• Language: English
• ISBN 10: 186094129X
• ISBN 13: 9781860941290
• Binding: Hardcover
• Edition: 3rd Edition
• Condition: Good

About this title

Synopsis

This book provides a concise introduction to stochastic calculus with some of its applications in mathematical finance, engineering and the sciences. Applications in finance include pricing of financial derivatives, such as options on stocks, exotic options and interest rate options. The filtering problem and its solution is presented as an application in engineering. Population models and randomly perturbed equations of physics are given as examples of applications in biology and physics.

Only a basic knowledge of calculus and probability is required for reading the book. The text takes the reader from a fairly low technical level to a sophisticated one gradually. Heuristic arguments are often given before precise results are stated, and many ideas are illustrated by worked-out examples. Exercises are provided at the end of chapters to help to test readers' understanding. This book is suitable for advanced undergraduate students, graduate students as well as research workers and practitioners.

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.