Elementary stochastic calculus with finance in view
Material type:
BookSeries: Advanced series on statistical science & applied probability ; vol. 6.Publication details: singapore: World Scientific, 1998.Description: ix, 212 p.: ill; 23 cmISBN: - 9780521514088
- 519.2 MIK
| Item type | Current library | Collection | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|
Books
|
IIT Gandhinagar | General | 519.2 MIK (Browse shelf(Opens below)) | Available | 002620 |
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.
There are no comments on this title.