Elementary Stochastic Calculus with Finance in View
Author | : Thomas Mikosch |
Publisher | : World Scientific |
Total Pages | : 230 |
Release | : 1998 |
ISBN-10 | : 9810235437 |
ISBN-13 | : 9789810235437 |
Rating | : 4/5 (37 Downloads) |
Book excerpt: Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. 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.