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Elementary Stochastic Calculus, With Finance In View
Hardback
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- Book Synopsis
- 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.
- Product Details
-
- ISBN
- 9789810235437
- Format
- Hardback
- Publisher
- World Scientific Publishing, (02 November 1998)
- Number of Pages
- 224
- Weight
- 468 grams
- Language
- English
- Dimensions
- 8.98 x 6.4 x 18 mm
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