Elementary stochastic calculus with finance in view
by
Mikosch, Thomas.
Title
:
Elementary stochastic calculus with finance in view
Author
:
Mikosch, Thomas.
ISBN
:
9789810235437
Personal Author
:
Mikosch, Thomas.
Publication Information
:
Singapore ; River Edge, N.J. : World Scientific Publ., 1998.
Physical Description
:
ix, 212 p. ; 23 cm.
Series
:
Advanced series on statistical science & applied perobability ; v. 6
Series Title
:
Advanced series on statistical science & applied perobability ; v. 6
Contents
:
1. Preliminaries -- 2. The Stochastic Integral -- 3. Stochastic Differential Equations -- 4. Applications of Stochastic Calculus in Finance -- App. A1. Modes of Convergence -- App. A2. Inequalities -- App. A3. Non-Differentiability and Unbounded Variation of Brownian Sample Paths -- App. A4. Proof of the Existence of the General Ito Stochastic Integral -- App. A5. The Radon-Nikodym Theorem -- App. A6. Proof of the Existence and Uniqueness of the Conditional Expectation.
Subject Term
:
Stochastic analysis.
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| IIEMSA | General Books | 33168025498771 | 519.2 M636E 1998 | 1 |