Elementary Stochastic Calculus, With Finance In View
Book Details
Format
Hardback or Cased Book
ISBN-10
9810235437
ISBN-13
9789810235437
Publisher
World Scientific Publishing Co Pte Ltd
Imprint
World Scientific Publishing Co Pte Ltd
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Nov 2nd, 1998
Print length
224 Pages
Weight
474 grams
Dimensions
22.40 x 16.30 x 2.00 cms
Product Classification:
Probability & statistics
AI Summary
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An elementary introduction to modelling with Ito integral or stochastic differential equations, 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.
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