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Elementary Stochastic Calculus with Finance in View

 
Thomas Mikosch (Author)
Synopsis

Modelling with the Itô 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 Itô calculus and/or stochastic finance.

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Bibliographic information

Title Elementary Stochastic Calculus with Finance in View
Format Softcover
Date published: 12.02.2019
Edition 1st. ed.
Language: English
isbn 9789810235437
length 224p.