Elementary Stochastic Calculus, with Finance in View Mikosch Thomas
Elementary Stochastic Calculus, with Finance in View Mikosch Thomas Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields,…
Specifikacia Elementary Stochastic Calculus, with Finance in View Mikosch Thomas
Elementary Stochastic Calculus, with Finance in View Mikosch Thomas
Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. However, stochastic calculus is based on a deep mathematical theory.This book is suitable for the reader without a deep mathematical background.
In particular, the Black-Scholes option pricing formula is derived. Applications are taken from stochastic finance. 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 Itô calculus and/or stochastic