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A graduate level methematical introduction to stochastic calculus using financial applications as examples. Starts with the discrete stochastic process then quickly moves on to continuous stochastic process. Suggested prerequisite courses are calculus I, II, and III (multivariate calculus), ordinary differential equations (ODE), partial differential equations (PDE), and probability and measure theory. A prior course in stochastic process is not necessary. Some readers on Amazon.com have suggested that real analysis (advanced calculus) may also be a prerequisite. Author is a professor of statistics at University of Pennsylvania and this book is used in his class for advanced MBA (or Finance PhD) students at Wharton.
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Previews available in: English
Subjects
Stochastic analysis, Business mathematicsShowing 2 featured editions. View all 2 editions?
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1
Stochastic Calculus and Financial Applications
June 3, 2003, Springer
in English
0387950168 9780387950167
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Book Details
First Sentence
"Preface This book is designed for students who want to develop professional skil in stochastic calculus and its applicatio to problems in finance."
Table of Contents
Edition Notes
Includes bibliographical references (p. [293]-295) and index
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- Created September 27, 2008
- 15 revisions
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July 14, 2024 | Edited by MARC Bot | import existing book |
September 10, 2020 | Edited by MARC Bot | import existing book |
July 28, 2020 | Edited by MARC Bot | import existing book |
July 7, 2019 | Edited by MARC Bot | import existing book |
September 27, 2008 | Created by ImportBot | Imported from Miami University of Ohio MARC record |