The Resource Elementary stochastic calculus with finance in view, Thomas Mikosch
Elementary stochastic calculus with finance in view, Thomas Mikosch
Resource Information
The item Elementary stochastic calculus with finance in view, Thomas Mikosch represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Elementary stochastic calculus with finance in view, Thomas Mikosch represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.
This item is available to borrow from 1 library branch.
 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 BlackScholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for nonmathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance."Jacket
 Language
 eng
 Extent
 ix, 212 p.
 Contents

 1. Preliminaries; Basic concepts from probability theory; Stochastic processes; Brownian motion; Conditional expectation; Martingales; 2. The stochastic integral; The Riemann and RiemannStieltjesintegrals; 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 BlackScholes optionpricing formula; A useful technique
 change of measure; Appendices: modes of convergence; Inequalities; Nondifferentiability and unbounded variation of Brownian sample paths; Proof of the existence of the general Ito stochastic integral; The RadonNikodym theorem; Proof of the existence and uniqueness of the conditional expectation
 Isbn
 9789810235437
 Label
 Elementary stochastic calculus with finance in view
 Title
 Elementary stochastic calculus with finance in view
 Statement of responsibility
 Thomas Mikosch
 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 BlackScholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for nonmathematicians 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
 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 RiemannStieltjesintegrals; 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 BlackScholes optionpricing formula; A useful technique  change of measure; Appendices: modes of convergence; Inequalities; Nondifferentiability and unbounded variation of Brownian sample paths; Proof of the existence of the general Ito stochastic integral; The RadonNikodym 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
 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 RiemannStieltjesintegrals; 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 BlackScholes optionpricing formula; A useful technique  change of measure; Appendices: modes of convergence; Inequalities; Nondifferentiability and unbounded variation of Brownian sample paths; Proof of the existence of the general Ito stochastic integral; The RadonNikodym 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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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Elementarystochasticcalculuswithfinancein/xVJmbUt1w6o/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Elementarystochasticcalculuswithfinancein/xVJmbUt1w6o/">Elementary stochastic calculus with finance in view, Thomas Mikosch</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">Sydney Jones Library, University of Liverpool</a></span></span></span></span></div>