Elementary Stochastic Calculus, With Finance In View

Elementary Stochastic Calculus, With Finance In View

Thomas Mikosch

Format: Print Book

ISBN: 9789810235437

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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.

Format: Hardcover
No of Pages: 224
Imprint: World Scientific
Publication date: 19981102
Series: Advanced Series On Statistical Science And Applied Probability

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