Introduction to Stochastic Calculus with Applications

C, Klebaner Fima,Klebaner, Fima C.

ISBN 10: 186094129X / ISBN 13: 9781860941290

Edité par World Scientific Publishing Comp, 1999

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Synopsis :

This book provides a concise introduction to stochastic calculus with some of its applications in mathematical finance, engineering and the sciences. Applications in finance include pricing of financial derivatives, such as options on stocks, exotic options and interest rate options. The filtering problem and its solution is presented as an application in engineering. Population models and randomly perturbed equations of physics are given as examples of applications in biology and physics.Only a basic knowledge of calculus and probability is required for reading the book. The text takes the reader from a fairly low technical level to a sophisticated one gradually. Heuristic arguments are often given before precise results are stated, and many ideas are illustrated by worked-out examples. Exercises are provided at the end of chapters to help to test readers' understanding. This book is suitable for advanced undergraduate students, graduate students as well as research workers and practitioners.

Présentation de l'éditeur: This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition. This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering. It is also suitable for researchers to gain working knowledge of the subject. It contains many solved examples and exercises making it suitable for self study. In the book many of the concepts are introduced through worked-out examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. The book covers models in mathematical finance, biology and engineering. For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises.

Détails bibliographiques

Titre : Introduction to Stochastic Calculus with ...
Éditeur : World Scientific Publishing Comp
Date d'édition : 1999
Reliure : Hardcover
Etat : Good
Edition : 3ème Édition