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Introduction to Stochastic Calculus with Applications
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Artikel-Nr:
9781848168329
Veröffentl:
2012
Einband:
Paperback
Erscheinungsdatum:
21.03.2012
Seiten:
454
Autor:
Fima C. Klebaner
Gewicht:
653 g
Format:
229x152x25 mm
Sprache:
Englisch
Beschreibung:
This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.
Preliminaries from Calculus; Concepts of Probability Theory; Basic Stochastic Processes; Brownian Motion Calculus; Stochastic Differential Equations; Diffusion Processes; Martingales; Calculus for Semimartingales; Pure Jump Processes; Change of Probability Measure; Applications in Finance: Stock and FX Options; Applications in Finance: Bonds, Rates and Options; Applications in Biology; Applications in Engineering and Physics.