J. Michael Steele
Stochastic Calculus and Financial Applications
Paperback Engels 2010 9781441928627Levertijd ongeveer 9 werkdagen
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Samenvatting
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas.
From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Specificaties
ISBN13:9781441928627
Taal:Engels
Bindwijze:paperback
Aantal pagina's:302
Uitgever:Springer New York
Druk:0
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Inhoudsopgave
Random Walk and First Step Analysis * First Martingale Steps * Brownian Motion * Martingale--Next Steps * Richness of Paths * Itô Integration * Localization and Itô's Integral * Itô's Formula * Stochastic Differential Equations * Arbitrage and SDE's * The Diffusion Equation * Representation Theorems * Girsanov Theory * Arbitrage and Martingales * The Feynman-Kac Connection
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