num_pages: 224
description: Modelling with the Itô 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 book is suitable for the reader without a deep mathematical background. It gives 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. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Itô calculus and/or stochastic finance.
language: English
title: ELEMENTARY STOCHASTIC CALCULUS, WITH FINANCE IN VIEW
titlecomplete: ELEMENTARY STOCHASTIC CALCULUS, WITH FINANCE IN VIEW (Advanced Statistical Science and Applied Probability)
genres: Finance, Mathematics
ratings_count: 35
publisher: World Scientific Publishing Company