ELEMENTARY STOCHASTIC CALCULUS,... (V6)
Book Details
Format
Hardback or Cased Book
ISBN-10
9810235437
ISBN-13
9789810235437
Publisher
World Scientific Publishing Co Pte Ltd
Imprint
World Scientific Publishing Co Pte Ltd
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Nov 2nd, 1998
Print length
226 Pages
Weight
480 grams
Dimensions
22.40 x 16.30 x 2.00 cms
Product Classification:
Probability & statisticsProbability and statistics
Ksh 8,650.00
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An elementary introduction to modelling with Ito integral or stochastic differential equations, 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.
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.
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