Stochastic Calculus and Financial Applications / Edition 1

Hardcover (Print)
Used and New from Other Sellers
Used and New from Other Sellers
from $48.73
Usually ships in 1-2 business days
(Save 50%)
Other sellers (Hardcover)
  • All (9) from $48.73   
  • New (1) from $134.78   
  • Used (8) from $48.73   
Sort by
Page 1 of 1
Showing All
Note: Marketplace items are not eligible for any coupons and promotions
Seller since 2008

Feedback rating:



New — never opened or used in original packaging.

Like New — packaging may have been opened. A "Like New" item is suitable to give as a gift.

Very Good — may have minor signs of wear on packaging but item works perfectly and has no damage.

Good — item is in good condition but packaging may have signs of shelf wear/aging or torn packaging. All specific defects should be noted in the Comments section associated with each item.

Acceptable — item is in working order but may show signs of wear such as scratches or torn packaging. All specific defects should be noted in the Comments section associated with each item.

Used — An item that has been opened and may show signs of wear. All specific defects should be noted in the Comments section associated with each item.

Refurbished — A used item that has been renewed or updated and verified to be in proper working condition. Not necessarily completed by the original manufacturer.


Ships from: Chicago, IL

Usually ships in 1-2 business days

  • Standard, 48 States
  • Standard (AK, HI)
Page 1 of 1
Showing All
Sort by


Shastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas.

From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." —ZENTRALBLATT MATH

Read More Show Less

Product Details

  • ISBN-13: 9780387950167
  • Publisher: Springer-Verlag New York, LLC
  • Publication date: 10/12/2000
  • Series: Stochastic Modelling and Applied Probability Series, #45
  • Edition description: 1st ed. 2001. Corr. 3rd printing
  • Edition number: 1
  • Pages: 309
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.75 (d)

Table of Contents

Random Walk and First Step Analysis
• First Martingale Steps
• Brownian Motion
• Martingale—Next Steps
• Richness of Paths
• Itô Integration
• Localization and Itô's Integral
• Itô's Formula
• Shastic Differential Equations
• Arbitrage and SDE's
• The Diffusion Equation
• Representation Theorems
• Girsanov Theory
• Arbitrage and Martingales
• The Feynman-Kac Connection

Read More Show Less

Customer Reviews

Average Rating 5
( 1 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & 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 & 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 & 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 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


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & 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 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
Sort by: Showing 1 Customer Reviews
  • Anonymous

    Posted March 9, 2003

    Riskfree profit !

    The book is at the interface of three areas, math, statistics, and finance. While connections between the first two have a long history, it was the connection to finance that caught my attention. Coming from math myself, I needed first to take a closer look at the book to orient myself. The mathematical subjects, smooth sailing, include stochastic differential equations (SDE) as they relate to PDEs; and the ideas from probability and statistics include Brownian motion, martingales, stochastic processes, and the Feynman-Kac connection. Browsing the chapters I found them to be a lovely presentation of ideas with which I am familiar. For me, it was chapter 10 that turned out to have stuff that I wasn't familiar with. That is the finance part, and it is based on a model for Option Pricing developed in 1973 by Fischer Black and Myron Scholes. An arbitrage opportunity [simplified] amounts to the simultaneous purchase and sale of related securities which is guaranteed to produce a *riskless* profit. It was after reading more in this chapter I understood why the book is used in a course at the Wharton School at the University of Pennsylvania. I am impressed with the level of math in this course. Part of the motivation in the applications to finance is that arbitrage enforces the price of most derivative securities. And I learned from ch 10 that the SDE of the Black-Scholes model governs the processes which represent the two variables S, the price of a stock, and B the price of a bond, both S and B representing stochastic variables depending of time t, i.e., both stochastic processes. In the model, S is a geometric Brownian motion, and B is a deterministic process with exponential growth. The two are determined as solutions to the SDE of Black-Scholes.

    Was this review helpful? Yes  No   Report this review
Sort by: Showing 1 Customer Reviews

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