Elementary Stochastic Calculus, With Finance In View

Elementary Stochastic Calculus, With Finance In View by Thomas Mikosch

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 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 Black-Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Itô calculus and/or stochastic finance.

"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