Elementary Stochastic Calculus with Finance in View PDF, ePub eBook

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Book Summary

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.

File Name:Elementary Stochastic Calculus with Finance in View
Posted By:Thomas Mikosch
Published on 1998 by World Scientific
ISBN-10:9810235437
Status : AVAILABLE
Ratting: 4.6 of 5 | PDF File Ready to download

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