| Elementary Stochastic Calculus, ... (V6) Contributor(s): T Mikosch (Author) |
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ISBN: 9810235437 ISBN-13: 9789810235437 Publisher: World Scientific Publishing Company OUR PRICE: $55.10 Product Type: Hardcover - Other Formats Published: November 1998 Annotation: 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. |
| Additional Information |
| BISAC Categories: - Mathematics | Calculus - Business & Economics | Finance - General - Mathematics | Probability & Statistics - General |
| Dewey: 519.2 |
| LCCN: 98026351 |
| Series: Advanced Statistical Science and Applied Probability |
| Physical Information: 0.6" H x 6.4" W x 8.98" (0.99 lbs) 224 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Modelling with the It 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 It calculus and/or stochastic finance. |