An edition of Stochastic calculus and financial applications (2001)

Stochastic calculus and financial applications

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Cover of: Stochastic calculus and financial applications by J. Michael Steele
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An edition of Stochastic calculus and financial applications (2001)

Stochastic calculus and financial applications

by

  • 0 Ratings
  • 2 Want to read
  • 0 Currently reading
  • 0 Have read

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.

Publish Date
Publisher
Springer
Language
English
Pages
300

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Previews available in: English

Subjects
Stochastic analysis, Business mathematics

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Edition Availability
Cover of: Stochastic Calculus and Financial Applications
Stochastic Calculus and Financial Applications
June 3, 2003, Springer
in English
Libraries near you: WorldCat
Cover of: Stochastic calculus and financial applications
Stochastic calculus and financial applications
2001, Springer
in English
  • Not in Library
Libraries near you: WorldCat

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Book Details

Published in

New York

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

1. Random Walk and First Step Analysis Page 1 1.1. First Step Analysis Page 1 1.2. Time and Infinity Page 2 1.3. Tossing an Unfair Coin Page 5 1.4. Numerical Calculation and Intuition Page 7 1.5. First Steps with Generating Functions Page 7 1.6. Exercises Page 9 2. First Martingale Steps Page 11 3. Browian Motion Page 29 4. Martingales: The Next Steps Page 43

Edition Notes

Includes bibliographical references (p. [293]-295) and index

Series
Applications of mathematics -- 45

Classifications

Library of Congress
QA274.2 .S74 2001, QA274.2 .S74 2000

The Physical Object

Pagination
ix, 300 p. :
Number of pages
300

ID Numbers

Open Library
OL16994638M
Internet Archive
stochasticcalcul00mjst
ISBN 10
0387950168
LCCN
00025890
Library Thing
902181
Goodreads
326904

Excerpts

The fountainhead of the theory of stochastic processes is simple random walk.
added anonymously.

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July 7, 2019 Edited by MARC Bot import existing book
April 28, 2010 Edited by Open Library Bot Linked existing covers to the work.
March 17, 2010 Edited by WorkBot update details
February 13, 2010 Edited by WorkBot add more information to works
December 10, 2009 Created by WorkBot add works page