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.
General
| Imprint: |
World Scientific Publishing Co Pte Ltd
|
| Country of origin: |
Singapore |
| Series: |
Advanced Series on Statistical Science & Applied Probability, 6 |
| Release date: |
November 1998 |
| First published: |
October 1998 |
| Authors: |
Thomas Mikosch
|
| Dimensions: |
224 x 163 x 20mm (L x W x T) |
| Format: |
Hardcover
|
| Pages: |
224 |
| ISBN-13: |
978-981-02-3543-7 |
| Categories: |
Books
|
| LSN: |
981-02-3543-7 |
| Barcode: |
9789810235437 |
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