Elementary Stochastic Calculus With Finance in View (Advanced Se... Cover Art

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


List Price: $58.00
Current Price: $53.80
You Save: $4.20 (7%)

Search Inside


Also available from:

Provider Name Price From Condition Buy
1   Alibris $49.64 New Buy
2   Printsasia $61.84 New Buy
3   Biblio $66.70 New Buy
 
4   Biblio $35.00 Used Buy

Product Description



Run a Quick Search on "Elementary Stochastic Calculus With Finance in View" by Thomas Mikosch to Browse Related Products:

Browse more products related to "Elementary Stochastic Calculus With Finance in View"

Browse more products related to "Thomas Mikosch"


Short Desription

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.

Contents: Preliminaries: Basic Concepts from Probability Theory; Stochastic Processes; Brownian Motion; Conditional Expectation; Martingales; The Stochastic Integral: The Riemann and Riemann Stieltjes Integrals; The Itô Integral; The Itô Lemma; The Stratonovich and Other Integrals; Stochastic Differential Equations: Deterministic Differential Equations; Itô 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 Itô 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

There are no customer reviews yet. Be the first to write a review!

Submit your Review




Explore More Great Tower Sales & Specials



Tower.com Sales, Promotions & Special Features

Tower.com Sales & Boutiques

  • Tower Essentials Sale
    Visit the Essentials Sale for a wide selection and huge savings on your favorite music, DVD, Blu-ray and Books.
  • Great Gift Ideas
    Tower has Great Gift Ideas and Huge Savings on Your Favorite Music, CDs, DVDs, Books and More at Prices that Make Giving A Breeze!

Interact with Tower.com