Elementary stochastic calculus with finance in view / Thomas Mikosch.
Elementary stochastic calculus with finance in view / Thomas Mikosch.
About this item
Full title
Author / Creator
Publisher
Singapore ; River Edge, N.J. : World Scientific Publ., 1998.
Date
1998.
Call Numbers
N519.2/32
Record Identifier
MMS ID
Language
English
Formats
Physical Description
Physical content
ix, 212 p. ; 23 cm.
Contents
1. Preliminaries -- 2. The Stochastic Integral -- 3. Stochastic Differential Equations -- 4. Applications of Stochastic Calculus in Finance -- App. A1. Modes of Convergence -- App. A2. Inequalities -- App. A3. Non-Differentiability and Unbounded Variation of Brownian Sample Paths -- App. A4. Proof o...
Publication information
Publisher
Singapore ; River Edge, N.J. : World Scientific Publ., 1998.
Date Published
1998.
Subjects
More information
Scope and Contents
Summary
Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary...
Alternative Titles
Full title
Elementary stochastic calculus with finance in view / Thomas Mikosch.
Authors, Artists and Contributors
Author / Creator
Notes
General note
Advanced series on statistical science and applied probability ; v. 6.
Includes bibliographical references and index.
Identifiers
Primary Identifiers
Call Numbers
N519.2/32
Record Identifier
74VvNWZ3gkm3
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VvNWZ3gkm3
Other Identifiers
ISBN
9810235437
9789810235437 (alk. paper)
9810235437 (alk. paper)
9789810235437
DDC
519.2
MMS ID
991012960779702626
