However, stochastic calculus is based on a deep mathematical book is It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Thomas Mikosch. Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology. Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) has 27 ratings Thomas Mikosch.
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Table of contents Preliminaries – basic concepts from probability theory; stochastic processes; Brownian motion; conditional expectation; Martingales; the stochastic integral – the Riemann and Riemann-Stieltjes; integrals; the Ito integral; the Ito lemma; the Mikoscy and other integrals; stochastic differential equations – deterministic differential equations; Ito stochastic mikocsh equations; the general linear differential equation; numerical solution; applications of stochastic calculus in finance – the Black-Scholes option-pricing formula; a useful technique – change of measure.
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Elementary Stochastic Calculus, With Finance In View
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. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. We e,ementary cookies to give you the best possible experience. Want to Read saving….
Easy to get something out of it without a huge time commitment. Dahn Jahn rated it really liked it Mar 12, This book is suitable for the reader without a deep mathematical background.
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Mikosch T. Elementary Stochastic Calculus With Finance in View [PDF] – Все для студента
Kevin Twomey rated it really liked it Jul 14, Bob rated it really liked it May 22, Examples and applications are mostly related to finance, building up to the Black-Scholes equation in the last chapter.
This book provides a good and basic understanding of stochastic calculus without diving deep elementarj pure mathematics measure theory is almost completely avoided.
Description Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. This book is suitable for the reader without a deep mathematical background. In particular, the Black Scholes option pricing formula is derived.
Mikosch T. Elementary Stochastic Calculus With Finance in View
Jiang Yan added it Nov 27, Dispatched from the UK in 1 business day When will my order arrive? Alexander marked it as to-read Nov 09, Cwlenfest rated it it was amazing Jan 04, Apr 04, Ulviyya Ibrahimli rated it it was amazing Shelves: David Hoyt rated it really liked it Aug 29, Kevin Kunz marked it as to-read Aug 05, Open Preview See a Problem?
Antonello added it Sep 08, Ricardo Pignatelli added it Feb 09, Sonila stochsstic it it was amazing Apr 11, In particular, the Black-Scholes option pricing formula is derived. Books by Thomas Mikosch. It’s a great introductory text for self-study to understand more complex texts and books on mioosch mathematics.