Stochastic Calculus and Financial Applications

J Michael Steele

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Langue : anglais

Edité par Springer-Verlag New York Inc., 2010

1441928626 / 9781441928627

Série : Livre 26 sur 30 - Stochastic Modelling and Applied Probability

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A propos de cet article

This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad- vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de- manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate- rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic.…

N° de réf. du vendeur 00109448203

Titre
Stochastic Calculus and Financial Applications
Auteur
J Michael Steele
Éditeur
Springer-Verlag New York Inc.
Année de publication
2010
État de l'article
Good
Reliure
Paperback
Langue
anglais
ISBN à 10 chiffres
1441928626
ISBN à 13 chiffres
9781441928627
Série
Livre 26 sur 30: Stochastic Modelling and Applied Probability

World of Books (was SecondSale)

Montgomery, IL, Etats-Unis

Vendeur avec une évaluation de 5 étoiles

Vendeur AbeBooks depuis 20 décembre 2007

Frais d'expédition à l'intérieur de ce pays : Etats-Unis

Article4 à 12 jours ouvrés3 à 6 jours ouvrés
Premier articleEUR 0,00EUR 9,80
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