Elementary Stochastic Calculus, With Finance In View
Author | : Thomas Mikosch |
Publisher | : World Scientific Publishing Company |
Total Pages | : 223 |
Release | : 1998-10-30 |
ISBN-10 | : 9789813105294 |
ISBN-13 | : 9813105291 |
Rating | : 4/5 (94 Downloads) |
Download or read book Elementary Stochastic Calculus, With Finance In View written by Thomas Mikosch and published by World Scientific Publishing Company. This book was released on 1998-10-30 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.