Modelling with the ItÃ´ 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 ItÃ´ calculus and/or stochastic finance.
Contents: Preliminaries: Basic Concepts from Probability Theory; Stochastic Processes; Brownian Motion; Conditional Expectation; Martingales; The Stochastic Integral: The Riemann and Riemann Stieltjes Integrals; The ItÃ´ Integral; The ItÃ´ Lemma; The Stratonovich and Other Integrals; Stochastic Differential Equations: Deterministic Differential Equations; ItÃ´ Stochastic Differential Equations; The General Linear Differential Equation; Numerical Solution; Applications of Stochastic Calculus in Finance: The Black Scholes Option-Pricing Formula; A Useful Technique: Change of Measure; Appendices: Modes of Convergence; Inequalities; Non-Differentiability and Unbounded Variation of Brownian Sample Paths; Proof of the Existence of the General ItÃ´ Stochastic Integral; The Radon Nikodym Theorem; Proof of the Existence and Uniqueness of the Conditional Expectation.
If You Enjoy "Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) (Advanced Series on Statistical Science and Applied Probability) (Hardcover)", May We Also Recommend:
Customer Reviews for "Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) (Advanced Series on Statistical Science and Applied Probability) (Hardcover)" by
Thomas Mikosch (Author)
There are no customer reviews yet. Be the first to write a review!