Introduction To Stochastic Calculus With Applications
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A01=Fima C Klebaner
Author_Fima C Klebaner
Birth-Death Processes
Brownian Motion
Category=PBKA
Category=PBT
Category=PBWL
Diffusions
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Financial Calculus
Financial Mathematics
Jump Processes
Martingales
Options Pricing
Semimartingales
Stochastic Differential Equations
Product details
- ISBN 9781860941290
- Publication Date: 25 Sep 1998
- Publisher: Imperial College Press
- Publication City/Country: GB
- Product Form: Hardback
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This book provides a concise introduction to stochastic calculus with some of its applications in mathematical finance, engineering and the sciences. Applications in finance include pricing of financial derivatives, such as options on stocks, exotic options and interest rate options. The filtering problem and its solution is presented as an application in engineering. Population models and randomly perturbed equations of physics are given as examples of applications in biology and physics.Only a basic knowledge of calculus and probability is required for reading the book. The text takes the reader from a fairly low technical level to a sophisticated one gradually. Heuristic arguments are often given before precise results are stated, and many ideas are illustrated by worked-out examples. Exercises are provided at the end of chapters to help to test readers' understanding. This book is suitable for advanced undergraduate students, graduate students as well as research workers and practitioners.
