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.

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http://covers.openlibrary.org/b/isbn/9789810235437-M.jpg?default=false

Label

Elementary stochastic calculus with finance in view, Thomas Mikosch

Statement of responsibility

Thomas Mikosch

Instantiates

• Elementary stochastic calculus with finance in view

Publication

• Singapore | London, World Scientific, 1998

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