Introduction To Stochastic Calculus With Applications Klebaner, Fima C

Klebaner, Fima C.; C, Klebaner Fima

ISBN 10: 186094129X / ISBN 13: 9781860941290

Editore: World Scientific Publishing Co, 1999

Riguardo questo articolo

Imperial College Press, 2001, in-8 cartonnage éditeur, 321 pages. Jaquette apparemment absente. Solide couverture en bon état général. Intérieur frais. Exemplaire de bibliothèque : petit code barre en pied de 1re de couv., cotation au dos, rares et discrets petits tampons à l?intérieur de l?ouvrage. [BT41].

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Dati bibliografici

• Titolo: Introduction To Stochastic Calculus With Applications Klebaner, Fima C
• Editore: World Scientific Publishing Co
• Data di pubblicazione: 1999
• Lingua: Inglese
• ISBN 10: 186094129X
• ISBN 13: 9781860941290
• Rilegatura: Hardcover Sep 25, 1998
• Edizione: terza edizione
• Condizione: Used: Very Good
• Condizione della sovraccoperta: sovraccoperta

Descrizione articolo

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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