Introduction to Stochastic Calculus
Aus der Reihe
Indian Statistical Institute Series
-
- Hardcover
- Taschenbuch ausgewählt
- eBook
-
Sprache:Englisch
Fr. 113.00
inkl. gesetzl. MwSt.,
Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
10.01.2019
Verlag
Springer SingaporeSeitenzahl
441
Maße (L/B/H)
23.5/15.5/2.5 cm
Gewicht
694 g
Auflage
Softcover reprint of the original 1st ed. 2018
Sprache
Englisch
ISBN
978-981-13-4121-2
This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.
Noch keine Bewertungen vorhanden
Verfassen Sie die erste Bewertung zu diesem Artikel
Helfen Sie anderen Kundinnen und Kunden durch Ihre Meinung.