Elementary Stochastic Calculus, with Finance in View (Hardcover) (ISBN-13: 9789810235437)

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.

Author: Thomas Mikosch
ISBN-10: 9810235437
ISBN-13: 9789810235437
Publisher: World Scientific Publishing Company
Language: English
Published: 11/02/1998
Pages: 224
Format: Hardcover
Weight: 0.99lbs
Size: 8.98h x 6.40w x 0.60d