Elementary stochastic calculus with finance in view / Thomas Mikosch.

By:

Mikosch, Thomas

Material type: Text

TextSeries: Publication details: Singapore ; River Edge, N.J. : World Scientific , 1998 [2000 reprinted]Description: ix, 212 p. : ill. ; 23 cmISBN:

9810235437 (alk. paper)
9789810235437

Subject(s):

Stochastic analysis

DDC classification:

519.22 MIK 22

LOC classification:

QA274.2 .M54 1998

Summary: 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.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Book	Calcutta	519.22 MIK (Browse shelf(Opens below))	Available		IIMC-143328

Total holds: 0

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

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.

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