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Elementary Stochastic Calculus, with Finance in View - Advanced Series on Statistical Science and Applied Probability Mikosch, Thomas (University of Groningen)
Elementary Stochastic Calculus, with Finance in View - Advanced Series on Statistical Science and Applied Probability
Mikosch, Thomas (University of Groningen)
An elementary introduction to modelling with Ito integral or stochastic differential equations, 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.
224 pages
| Medios de comunicación | Libros Hardcover Book (Libro con lomo y cubierta duros) |
| Publicado | 2 de noviembre de 1998 |
| ISBN13 | 9789810235437 |
| Editores | World Scientific Publishing Co Pte Ltd |
| Páginas | 226 |
| Dimensiones | 163 × 224 × 20 mm · 480 g |