Brownian Motion Calculus - Brossura

Wiersema, Ubbo F.

Brossura

ISBN 10: 0470021705 ISBN 13: 9780470021705

Casa editrice: Wiley, 2008

Riassunto

<i>Brownian Motion Calculus</i> presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites.&#160; Summary slides for revision and teaching can be found on the book website.

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Informazioni sull?autore

<b>UBBO WIERSEMA</b> was educated in Applied Mathematics at Delft, in Operations Research at Berkeley, and in Financial Economics and Financial Mathematics at the London School of Economics. He joined The Business School for Financial Markets (the ICMA Centre) at the University of Reading, UK, in 1997, to develop and teach its curriculum in Quantitative Finance. Prior to that, he was a derivatives mathematician at the merchant bank Robert Fleming in the City of London. Before that his career was focused in Operations Research in the US and Europe.

Dalla quarta di copertina

“Wiersema has written a splendid book … focusing on the core elements of the theory in a simplistic and operational manner. The reader is gently invited into the world of Ito integration and differentiation, where the material is carefully selected to highlight how the calculus functions rather than going into all theoretical details. The author provides many examples with relevance for financial applications, and each chapter ends with a good choice of exercises. The book is unique in its concise and inspiring style. This introduction to Brownian motion calculus is powerful, and highly recommended.”

Professor Fred Espen Benth, Centre of Mathematics for Applications, Department of Mathematics, University of Oslo

“Stochastic calculus fundamentals are covered with a high level of clarity in a consistent step-by-step manner. The book has the right blend of theory and practical applications allowing to develop a thorough understanding of the subject and to build a solid foundation for the future hands-on work.”

Michael Zaidel, Senior Analyst – Quantitative Analytics, Toronto Dominion Bank Financial Group

“The clear and open explanation of concepts combined with the many useful examples make this an invaluable reference both for students and professionals who need to gain an intuitive grasp and solid understanding of this vital subject. Wiersema's approachable style is sure to become a favourite amongst practitioners as it has amongst his students.” 

Andrew Scourse, structured finance professional in a global bank

“Ubbo's book is an extremely clearly written introduction to the important topic of applied stochastic calculus. In particular, it contains many illustrative worked-out examples and applications. This is a very well-balanced and structured guided-tour through the subject, where every step is carefully motivated and explained. Students will love this book!”

Thorsten Rheinlander, Reader, London School of Economics

Dettagli dell'edizione

• Editore: Wiley
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 0470021705
• ISBN 13: 9780470021705
• Rilegatura: Copertina flessibile
• Numero edizione: 1
• Numero di pagine: 334
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile