Stochastic Calculus and Financial Applications (Paperback)

J. Michael Steele

ISBN 10: 1441928626 / ISBN 13: 9781441928627

Edité par Springer-Verlag New York Inc., New York, NY, 2010

A propos de cet article

Paperback. 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. This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.

N° de réf. du vendeur 9781441928627

Détails bibliographiques

• Titre: Stochastic Calculus and Financial Applications (Paperback)
• Éditeur: Springer-Verlag New York Inc., New York, NY
• Date de parution: 2010
• Langue: anglais
• ISBN à 10 chiffres: 1441928626
• ISBN à 13 chiffres: 9781441928627
• Reliure: Paperback
• Édition: Edition originale
• État de l'article: new

A propos de ce titre

Synopsis

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and graduate students who want an elementary introduction to these areas.