Elementary Stochastic Calculus, With Finance In View

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.

• | By (Author): Thomas (Univ Of Copenhagen, Denmark) Mikosch
• | Series: Advanced Series on Statistical Science & Applied Probability
• | Publisher: World Scientific Publishing Co Pte Ltd
• | Publication Date: Nov 02, 1998
• | Country of Publication: Singapore
• | Number of Pages: 224 pages
• | Language: Not available
• | Binding: Hardback
• | ISBN-10: 0007233485
• | ISBN-13: 9789810235437