Elementary Stochastic Calculus, with Finance in View Thomas Mikosch
University of Groningen, The Netherlands
Reviews “This book under review can be determined as a very successful work … the author’s choice of the material is done with good taste and expertise … It can be strongly recommended to graduate students and practitioners in the field of finance and economics.” Mathematics Abstracts “… this is a well-written book, which makes the difficult object of mathematical finance easy to understand also for non-mathematicians. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model.” Statistical Papers
Description
November 1998 £48 | HARDCOVER 978-981-02-3543-7
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 theor . his book is suitable or the reader without a deep mathematical background. t gives an elementar introduction to that area o probabilit theor , without burdening the reader with a great deal o measure theor . pplications are taken rom stochastic finance. n particular, the lack Scholes option pricing ormula is derived. he book can serve as a te t or a course on stochastic calculus or non mathematicians or as elementar reading material or an one who wants to learn about t calculus and or stochastic finance.
Imprint: World Scientific Publishing Compan Extent: 224pp Type: e tbook Series: dvanced Series on Statistical Science and pplied Probabilit Main Subject:
athematics
Sub-Subjects: Probability Theory / Stochastic Processes athematical inance Economics athematical uantitative inance Computational Economics inance Keywords: to ntegral to ormula Stochastic i erential E uation ption Pricing lack Scholes ormula Readership: Economists, financial engineers, mathematicians and ph sicists.
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