Author: Thomas Mikosch
Publisher: World Scientific Publishing Company
Keywords: science, statistical, applied, probability, vol, series, advanced, stochastic, calculus, finance, view, elementary
Number of Pages: 212
Published: 1999-10-30
List price: $41.00
ISBN-10: 9810235437
ISBN-13: 9789810235437

Modelling with the Itô 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 serv

Authors:Damien Lamberton, Bernard Lapeyre, Nicolas Rabeau,
Publisher: Springer
Keywords: stochastic, modeling, finance, calculus, introduction, applied
Number of Pages: 200
Published: 1996-06-13
List price: $99.00
ISBN-10: 0412718006
ISBN-13: 9780412718007

In recent years the growing importance of derivative products financial markets has increased financial institutions’ demands for mathematical skills. This book introduces the mathematical methods of financial modelling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in appl

Author: Fima C. Klebaner
Publisher: Imperial College Pre
Keywords: applications, calculus, stochastic, introduction
Number of Pages: 432
Published: 2005-06-30
List price: $48.00
ISBN-10: 186094566X
ISBN-13: 9781860945663

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering. Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for prac

Author: J. Michael Steele
Publisher: Springer
Keywords: applications, financial, calculus, stochastic
Number of Pages: 344
Published: 2003-06-03
List price: $99.00
ISBN-10: 0387950168
ISBN-13: 9780387950167

The Wharton School course on which the book is based is designed for energetic students who have had some experience with probability and statistics, but who have not had advanced courses in stochastic processes. Even though the course assumes only a modest background, it moves quickly and - in the end - students can expect to have the tools that are deep enough and rich enough to be relied upon throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a d

Author: Fima C. Klebner
Publisher: Imperial College Pre
Keywords: applications, calculus, stochastic, introduction
Number of Pages: 432
Published: 2005-06-30
List price: $85.00
ISBN-10: 1860945554
ISBN-13: 9781860945557

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering. Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for pract

Author: Mircea Grigoriu
Publisher: Birkhäuser Bosto
Keywords: engineering, science, applications, calculus, stochastic
Number of Pages: 792
Published: 2002-09-24
List price: $99.00
ISBN-10: 0817642420
ISBN-13: 9780817642426

Focuses on analyzing and presenting solutions for a wide range of stochastic problems that are encountered in applied mathematics, probability, physics, engineering, finance, and economics. The approach used reduces the gap between the mathematical and engineering literature.

Author: K.R. Parthasarathy
Publisher: Birkhäuser Basel
Keywords: monographs, mathematics, calculus, stochastic, quantum, introduction
Number of Pages: 308
Published: 1992-05-27
List price: $89.95
ISBN-10: 3764326972
ISBN-13: 9783764326975

"Elegantly written, with obvious appreciation for fine points of higher mathematics...most notable is [the] author’s effort to weave classical probability theory into [a] quantum framework." – The American Mathematical Monthly "This is an excellent volume which will be a valuable companion both for those who are already active in the field and those who are new to it. Furthermore there are a large number of stimulating exercises scattered through the text which will be invaluable to students." – Mathematical Reviews An Introduction to Quantum Stochastic Calculus aims to deepen our un