ISBN: 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 decent level of confidence with discrete processes, the course takes up the more demanding development of continuous time stochastic process, especially Brownian motion. The construction of Brownian motion is given in detail, and enough material on the subtle properties of Brownian paths is developed so that the student should sense of when intuition can be trusted and when it cannot. The course then takes up the ItA integral and aims to provide a development that is honest and complete without being pedantic. With the ItA integral in hand, the course focuses more on models. Stochastic processes of importance in Finance and Economics are developed in concert with the tools of stochastic calculus that are needed in order to solve problems of practical importance. The financial notion of replication is developed, and the Black-Scholes PDE is derived by three different methods. The course then introduces enough of the theory of the diffusion equation to be able to solve the Black-Scholes PDE and prove the uniqueness of the solution. Stochastic Calculus and Financial Applications Steele, J. M., Springer

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ISBN: 0387950168

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 decent level of confidence with discrete processes, the course takes up the more demanding development of continuous time stochastic process, especially Brownian motion. The construction of Brownian motion is given in detail, and enough material on the subtle properties of Brownian paths is developed so that the student should sense of when intuition can be trusted and when it cannot. The course then takes up the It? integral and aims to provide a development that is honest and complete without being pedantic. With the It? integral in hand, the course focuses more on models.Stochastic processes of importance in Finance and Economics are developed in concert with the tools of stochastic calculus that are needed in order to solve problems of practical importance. The financial notion of replication is developed, and the Black-Scholes PDE is derived by three different methods. The course then business,business and investing,economics,math,mathematics,medical,medical books,popular economics,science and math Mathematics, Springer

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ISBN: 9780387950167

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas.From the reviews: "As the preface says, This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract . This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH Media > Book, [PU: Springer]

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ISBN: 9780387950167

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ISBN: 9780387950167

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ISBN: 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… More...

ISBN: 0387950168

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… More...

## ISBN: 9780387950167

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas.From the rev… More...

ISBN: 9780387950167

Van dit artikel (9780387950167 / Stochastic calculus and financial applications) is nog geen omschrijving beschikbaar., [PU: Springer]

ISBN: 9780387950167

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** Details of the book - Stochastic Calculus and Financial Applications**

EAN (ISBN-13): 9780387950167

ISBN (ISBN-10): 0387950168

Hardcover

Publishing year: 2001

Publisher: Springer-Verlag GmbH

300 Pages

Weight: 0,637 kg

Language: eng/Englisch

Book in our database since 2007-06-05T13:16:05-04:00 (New York)

Detail page last modified on 2020-02-26T12:24:40-05:00 (New York)

ISBN/EAN: 0387950168

ISBN - alternate spelling:

0-387-95016-8, 978-0-387-95016-7

### Information from Publisher

Author: J. Michael Steele

Title: Stochastic Modelling and Applied Probability; Stochastic Calculus and Financial Applications

Publisher: Springer; Springer US

302 Pages

Publishing year: 2003-06-03

New York; NY; US

Printed / Made in

Weight: 1,370 kg

Language: English

80,24 € (DE)

82,49 € (AT)

82,50 CHF (CH)

Not available, publisher indicates OP

BB; Book; Hardcover, Softcover / Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik; Wahrscheinlichkeitsrechnung und Statistik; Stochastic Differential Equations; statistics; Uniform integrability; calculus; Variance; Stochastic calculus; Stochastic Processes; C; Probability Theory and Stochastic Processes; Mathematics and Statistics; Quantitative Finance; Statistical Theory and Methods; Stochastik; Finanz- und Rechnungswesen; Wahrscheinlichkeitsrechnung und Statistik; BC; EA

Random Walk and First Step Analysis * First Martingale Steps * Brownian Motion * Martingale--Next Steps * Richness of Paths * Itô Integration * Localization and Itô's Integral * Itô's Formula * Stochastic Differential Equations * Arbitrage and SDE's * The Diffusion Equation * Representation Theorems * Girsanov Theory * Arbitrage and Martingales * The Feynman-Kac ConnectionStochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and graduate students who want an elementary introduction to these areas.

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### Latest similar book:

*9781468493054 Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability Book 45) (English Edition) (Steele, J. Michael)*

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