Intro to Stoch Calc with Appl

Name: Intro to Stoch Calc with Appl
Brand: Imperial College Press
SKU: 9781860941290
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ISBN13: 9781860941290
Binding: Hardcover
Subject: N/A
Publisher: Imperial College Press
Publisher Imprint: Imperial College Press
Publication Date: September 25, 1998
Pages: 336
Original Price: USD 53.0
Language: English
Edition: N/A
Item Weight: 586 grams
BISAC Subject(s): Calculus

About The Book

This book provides a concise introduction to stochastic calculus with some of its applications in mathematical finance, engineering and the sciences. Applications in finance include pricing of financial derivatives, such as options on stocks, exotic options and interest rate options. The filtering problem and its solution is presented as an application in engineering. Population models and randomly perturbed equations of physics are given as examples of applications in biology and physics.

Only a basic knowledge of calculus and probability is required for reading the book. The text takes the reader from a fairly low technical level to a sophisticated one gradually. Heuristic arguments are often given before precise results are stated, and many ideas are illustrated by worked-out examples. Exercises are provided at the end of chapters to help to test readers' understanding. This book is suitable for advanced undergraduate students, graduate students as well as research workers and practitioners.

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