Elementary stochastic calculus with finance in view, Thomas Mikosch
Resource Information
The instance Elementary stochastic calculus with finance in view, Thomas Mikosch represents a material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.
The Resource
Elementary stochastic calculus with finance in view, Thomas Mikosch
Resource Information
The instance Elementary stochastic calculus with finance in view, Thomas Mikosch represents a material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.
- Label
- Elementary stochastic calculus with finance in view, Thomas Mikosch
- Statement of responsibility
- 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 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.
- Record ID
- b1777414
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.liverpool.ac.uk/resource/xVJmbUt1w6o/" typeof="Book http://bibfra.me/vocab/lite/Instance"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/resource/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>