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.
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.
| Autorius: | T Mikosch |
| Leidėjas: | World Scientific |
| Išleidimo metai: | 1998 |
| Knygos puslapių skaičius: | 226 |
| ISBN-10: | 9810235437 |
| ISBN-13: | 9789810235437 |
| Formatas: | Knyga kietu viršeliu |
| Kalba: | Anglų |
| Žanras: | Calculus |
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