Elementary Stochastic Calculus, With Finance In View
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A01=Thomas Mikosch
Author_Thomas Mikosch
Black-Scholes Formula
Category=KF
Category=KFF
Category=PBK
Category=PBT
Category=PBWL
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eq_business-finance-law
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eq_isMigrated=2
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Ito Formula
Ito Integral
Option Pricing
Stochastic Differential Equation
Product details
- ISBN 9789810235437
- Publication Date: 02 Nov 1998
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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Modelling with the Itô 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 Itô calculus and/or stochastic finance.
