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Elementary Stochastic Calculus, with Fin - (Advanced Statistical Science and Applied Probability)

Elementary Stochastic Calculus, with Fin - (Advanced Statistical Science and Applied Probability) - image 1 of 1
Elementary Stochastic Calculus, with Fin - (Advanced Statistical Science and Applied Probability) - image 1 of 1
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About this item

Specifications

Number of Pages: 224

Genre: Mathematics

Sub-Genre: Calculus

Series Title: Advanced Statistical Science and Applied Probability

Format: Hardcover

Publisher: World Scientific Publishing Company

Author: Thomas Mikosch

Language: English

Street Date: October 30, 1998
TCIN: 78118524
UPC: 9789810235437
Item Number (DPCI): 247-77-4833

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.
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