Elementary Stochastic Calculus, With Finance In View
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Elementary Stochastic Calculus, With Finance In View by Thomas Mikosch
An elementary introduction to modelling with Ito integral or stochastic differential equations, 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.
"This book under review can be determined as a very successful work.. the author's choice of the material is done with good taste and expertise ... It can be strongly recommended to graduate students and practitioners in the field of finance and economics." Mathematics Abstracts, 2000 "... this is a well-written book, which makes the difficult object of mathematical finance easy to understand also for non-mathematicians. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model." Statistical Papers, 2000
Thomas Mikosch has been professor at the Laboratory of Actuarial Mathematics of the University of Copenhagen since January 2001. Before this, he held positions in Dresden (Germany), Wellington (New Zealand) and Groningen (Netherlands). His special interests are applied probability theory and stochastic processes. Over the last few years his research has focused on extremal events in finance, insurance and telecommunications. His earlier very successful book, written jointly with Paul Embrechts and Claudia Klüppelberg, Modelling Extremal Events for Finance and Insurance (1997), is also published by Springer.
| SKU | Unavailable |
| ISBN 13 | 9789810235437 |
| ISBN 10 | 9810235437 |
| Title | Elementary Stochastic Calculus, With Finance In View |
| Author | Thomas Mikosch |
| Series | Advanced Series On Statistical Science And Applied Probability |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | World Scientific Publishing Co Pte Ltd |
| Year published | 1998-11-02 |
| Number of pages | 224 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |