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Elementary Stochastic Calculus, with Finance in View / Edition 1
     

Elementary Stochastic Calculus, with Finance in View / Edition 1

by Thomas Mikosch
 

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ISBN-10: 9810235437

ISBN-13: 9789810235437

Pub. Date: 11/02/1998

Publisher: World Scientific Publishing Company, Incorporated

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

Overview

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.

Product Details

ISBN-13:
9789810235437
Publisher:
World Scientific Publishing Company, Incorporated
Publication date:
11/02/1998
Series:
Advanced Series On Statistical Science And Applied Probability Series , #6
Edition description:
New Edition
Pages:
224
Product dimensions:
6.00(w) x 9.00(h) x 0.56(d)

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