Elementary Stochastic Calculus, with Finance in View / Edition 1

Hardcover (Print)
Buy New
Buy New from BN.com
$52.72
Used and New from Other Sellers
Used and New from Other Sellers
from $33.00
Usually ships in 1-2 business days
(Save 43%)
Other sellers (Hardcover)
  • All (10) from $33.00   
  • New (4) from $60.69   
  • Used (6) from $33.00   

Overview

Modelling with the Ito 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 Ito calculus and/or stochastic finance.

Read More Show Less

Product Details

  • ISBN-13: 9789810235437
  • Publisher: World Scientific Publishing Company, Incorporated
  • Publication date: 10/28/1998
  • Series: Advanced Series on Statistical Science , #6
  • Edition description: New Edition
  • Edition number: 1
  • Pages: 212
  • Sales rank: 841,928
  • Product dimensions: 5.80 (w) x 9.18 (h) x 0.37 (d)

Table of Contents

Reader Guidelines 1
1 Preliminaries 5
2 The Stochastic Integral 87
3 Stochastic Differential Equations 131
4 Applications of Stochastic Calculus in Finance 167
App. A1 Modes of Convergence 185
App. A2 Inequalities 187
App. A3 Non-Differentiability and Unbounded Variation of Brownian Sample Paths 188
App. A4 Proof of the Existence of the General Ito Stochastic Integral 190
App. A5 The Radon-Nikodym Theorem 193
App. A6 Proof of the Existence and Uniqueness of the Conditional Expectation 194
Bibliography 195
Index 199
List of Abbreviations and Symbols 209
Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)