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Original Essays | July 22, 2014

Nick Harkaway: IMG The Florist-Assassins



The three men lit up in my mind's eye, with footnotes. They were converging on me — and on the object I was carrying — in a way that had... Continue »
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Advanced Series on Statistical Science & Applied Probability #6: Elementary Stochastic Calculus, with Finance in View

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Advanced Series on Statistical Science & Applied Probability #6: Elementary Stochastic Calculus, with Finance in View Cover

 

Synopses & Reviews

Publisher Comments:

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.<P>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.

Synopsis:

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.

Description:

Includes bibliographical references (p. [195]-198) and index.

Product Details

ISBN:
9789810235437
Author:
Mikosch, Thomas
Publisher:
World Scientific Publishing Company
Location:
Singapore
Subject:
Finance
Subject:
Calculus
Subject:
Probability
Subject:
Stochastic analysis
Subject:
Probability & Statistics - General
Subject:
Mathematics-Calculus
Series:
Advanced Series on Statistical Science & Applied Probability
Series Volume:
vol. 6
Publication Date:
19981031
Binding:
Hardcover
Language:
English
Illustrations:
Yes
Pages:
224
Dimensions:
8.98x6.40x.60 in. .99 lbs.

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Advanced Series on Statistical Science & Applied Probability #6: Elementary Stochastic Calculus, with Finance in View New Hardcover
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$65.25 In Stock
Product details 224 pages World Scientific Publishing Company - English 9789810235437 Reviews:
"Synopsis" by , 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.
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