Elementary Stochastic Calculus, With Finance In View: 6 (Advanced Series on Statistical Science & Applied Probability) - Hardcover

Mikosch, Thomas

Hardcover

ISBN 10: 9810235437 ISBN 13: 9789810235437

Publisher: World Scientific Publishing Co Pte Ltd, 1998

Synopsis

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.

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Review

"This book under review can be determined as a very successful work ... the author's choice of the material is done with good taste and expertise ... It can be strongly recommended to graduate students and practitioners in the field of finance and economics." Mathematics Abstracts, 2000 "... this is a well-written book, which makes the difficult object of mathematical finance easy to understand also for non-mathematicians. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model." Statistical Papers, 2000

Edition details

• Publisher: World Scientific Publishing Co Pte Ltd
• Publication date: 1998
• Language: English
• ISBN 10: 9810235437
• ISBN 13: 9789810235437
• Binding: Hardcover
• Number of pages: 226