Stochastic calculus and financial applications

Stochastic calculus and financial applications

by Steele, J. Michael

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"This book offers a course which begins with a simple analysis of gambling games, which material is used to motivate the theory of martingales, and then takes up the development of continuous time stochastic process, especially Brownian motion, so to develop in the reader a sense of when intuitition can be trusted and when it cannot. The course then takes up the Ito integral."

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Title Statements

  • Full title :Stochastic calculus and financial applications / J. Michael Steele.

Summary

"This book offers a course which begins with a simple analysis of gambling games, which material is used to motivate the theory of martingales, and then takes up the development of continuous time stochastic process, especially Brownian motion, so to develop in the reader a sense of when intuitition can be trusted and when it cannot. The course then takes up the Ito integral."

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Edition Statements

  • Publication Date:©2001.

Publication Statements

  • Publisher(s):Springer
  • Place of Publication:New York
  • Language:eng
  • Publication Date:©2001.

The Physical Object

  • Description:ix, 300 pages ; : 25 cm

Edition Identifiers

  • ISBN:0387950168, 9780387950167
  • oclc:ocn421853496
  • LC Classification:QA274.2 S74 2001
  • Dewey Decimal:519.2

Subjects

Analyse stochastique analyse stochastique -- mathématiques f… Business mathematics Finances -- Modèles mathématiques Mathématique financière Mathématiques financières Processus stochastiques Stochastic analysis

Writers

Steele, J. Michael

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