Elementary Stochastic Calculus, with Finance in View

Elementary Stochastic Calculus, with Finance in View

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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.

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Product details

  • Hardback | 224 pages
  • 157.48 x 218.44 x 12.7mm | 476.27g
  • World Scientific Publishing Co Pte Ltd
  • Singapore, Singapore
  • English
  • black & white illustrations
  • 9810235437
  • 9789810235437
  • 420,298

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Review quote

"This book under review can be determined as a very successful work ... the author's choice of the material is done with good taste and expertise ... It can be strongly recommended to graduate students and practitioners in the field of finance and economics." Mathematics Abstracts, 2000 "... this is a well-written book, which makes the difficult object of mathematical finance easy to understand also for non-mathematicians. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model." Statistical Papers, 2000

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