Elementary stochastic calculus with finance in view

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Title:

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.

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025498771	519.2 M636E 1998	1	Searching... Unknown

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Summary

Modelling with the It 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 It calculus and/or stochastic finance.