Elementary stochastic calculus, with finance in view

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Omschrijving

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...
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Uitgebreide omschrijving

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 text should be suitable for the reader without a deep mathematical background. It seeks to provide 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.
Uitgever World Scientific Publishing
Druk 1
ISBN/EAN 9789810235437
Auteur Mikosch, T.
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