Advanced Series on Statistical Science and Applied Probability: Elementary Stochastic Calculus, with Finance in View (PDF)
(Sprache: Englisch)
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...
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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.
Bibliographische Angaben
- Autor: Thomas Mikosch
- 1998, Englisch
- ISBN-10: 9812386335
- ISBN-13: 9789812386335
- Erscheinungsdatum: 30.10.1998
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- Größe: 14 MB
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