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Item Details
| Title:
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INTRODUCTION TO STOCHASTIC CALCULUS WITH APPLICATIONS (3RD EDITION)
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| By: |
Fima C. Klebaner |
| Format: |
Hardback |
| List price:
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£44.00 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
186094129X |
| ISBN 13: |
9781860941290 |
| Publisher: |
IMPERIAL COLLEGE PRESS |
| Pub. date: |
25 September, 1998 |
| Edition: |
3rd ed. |
| Pages: |
336 |
| Description: |
An introduction to stochastic calculus, with some of its applications in mathematical finance, engineering and the sciences. Only a basic knowledge of calculus and probability is required, and exercises are provided at the end of chapters to help test the readers' understanding. |
| Synopsis: |
This is 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 this book. The text gradually takes the reader from a fairly low technical level to a sophisticated one. 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 test the readers' understanding. |
| Illustrations: |
Illustrations |
| Publication: |
UK |
| Imprint: |
Imperial College Press |
| Returns: |
Non-returnable |
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