Introduction to Stochastic Calculus (Hardcover, 1st ed. 2018)

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier-Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.

General

Imprint:	Springer Verlag, Singapore
Country of origin:	Singapore
Series:	Indian Statistical Institute Series
Release date:	June 2018
First published:	2018
Authors:	Rajeeva L. Karandikar • B. V Rao
Dimensions:	235 x 155 x 31mm (L x W x T)
Format:	Hardcover
Pages:	441
Edition:	1st ed. 2018
ISBN-13:	978-981-10-8317-4
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics
LSN:	981-10-8317-7
Barcode:	9789811083174

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!