Elementary Stochastic Calculus, With Finance In View (BOK)

Thomas Mikosch

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Modelling with the Ito 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 text should be suitable for the reader without a deep mathematical background. It seeks to provide 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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 1998 Forfatter Thomas Mikosch
Forlag
World Scientific Publishing UK
ISBN 9789810235437
Antall sider 224 Dimensjoner 16,4cm x 23,6cm x 1,8cm
Vekt 468 gram Leverandør Bertram Trading Ltd

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