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The Resource Elementary stochastic calculus with finance in view, Thomas Mikosch

Elementary stochastic calculus with finance in view, Thomas Mikosch

Label
Elementary stochastic calculus with finance in view
Title
Elementary stochastic calculus with finance in view
Statement of responsibility
Thomas Mikosch
Creator
Subject
Language
eng
Summary
"This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance."--Jacket
Cataloging source
DCC
http://library.link/vocab/creatorName
Mikosch, Thomas
Illustrations
illustrations
Index
index present
LC call number
QA274.2
LC item number
.M54 1998
Literary form
non fiction
Series statement
Advanced series on statistical science & applied probability
Series volume
6
http://library.link/vocab/subjectName
Stochastic analysis
Label
Elementary stochastic calculus with finance in view, Thomas Mikosch
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. [195]-198) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Preliminaries; Basic concepts from probability theory; Stochastic processes; Brownian motion; Conditional expectation; Martingales; 2. The stochastic integral; The Riemann and Riemann-Stieltjes-integrals; the Ito integral; the Ito lemma; The Stratonovich and other integrals; 3. Stochastic differential equations -- Deterministic differential equations; Ito stochastic differential equations; The general linear differential equation; Numerical solution; 4. Applications of stochastic calculus in finance; The Black-Scholes option-pricing formula; A useful technique -- change of measure; Appendices: modes of convergence; Inequalities; Non-differentiability and unbounded variation of Brownian sample paths; Proof of the existence of the general Ito stochastic integral; The Radon-Nikodym theorem; Proof of the existence and uniqueness of the conditional expectation
Dimensions
23 cm.
Extent
ix, 212 p.
Isbn
9789810235437
Lccn
lc98026351
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
ill.
Label
Elementary stochastic calculus with finance in view, Thomas Mikosch
Publication
Bibliography note
Includes bibliographical references (p. [195]-198) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Preliminaries; Basic concepts from probability theory; Stochastic processes; Brownian motion; Conditional expectation; Martingales; 2. The stochastic integral; The Riemann and Riemann-Stieltjes-integrals; the Ito integral; the Ito lemma; The Stratonovich and other integrals; 3. Stochastic differential equations -- Deterministic differential equations; Ito stochastic differential equations; The general linear differential equation; Numerical solution; 4. Applications of stochastic calculus in finance; The Black-Scholes option-pricing formula; A useful technique -- change of measure; Appendices: modes of convergence; Inequalities; Non-differentiability and unbounded variation of Brownian sample paths; Proof of the existence of the general Ito stochastic integral; The Radon-Nikodym theorem; Proof of the existence and uniqueness of the conditional expectation
Dimensions
23 cm.
Extent
ix, 212 p.
Isbn
9789810235437
Lccn
lc98026351
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
ill.

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