Introduction To Stochastic Calculus With Applications - Rilegato

Klebaner, Fima C

Rilegato

ISBN 10: 186094129X ISBN 13: 9781860941290

Casa editrice: Imperial College Press, 1998

Riassunto

This book provides a concise introduction to stochastic calculus with some of its applications in mathematical finance, engineering and the sciences. Applications in finance include pricing of financial derivatives, such as options on stocks, exotic options and interest rate options. The filtering problem and its solution is presented as an application in engineering. Population models and randomly perturbed equations of physics are given as examples of applications in biology and physics.Only a basic knowledge of calculus and probability is required for reading the book. The text takes the reader from a fairly low technical level to a sophisticated one gradually. Heuristic arguments are often given before precise results are stated, and many ideas are illustrated by worked-out examples. Exercises are provided at the end of chapters to help to test readers' understanding. This book is suitable for advanced undergraduate students, graduate students as well as research workers and practitioners.

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Dettagli dell'edizione

• Editore: Imperial College Press
• Data di pubblicazione: 1998
• Lingua: Inglese
• ISBN 10: 186094129X
• ISBN 13: 9781860941290
• Rilegatura: Copertina rigida
• Numero di pagine: 336
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile