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Anglický jazyk
ELEMENTARY STOCHASTIC CALCULUS, WITH FINANCE IN VIEW
Autor: T Mikosch
Modelling with the Ito 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...
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O knihe
Modelling with the Ito 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 Ito calculus and/or stochastic finance.
- Vydavateľstvo: World Scientific
- Rok vydania: 1998
- Formát: Hardback
- Rozmer: 235 x 157 mm
- Jazyk: Anglický jazyk
- ISBN: 9789810235437
