Continuous stochastic calculus with applications to finance
By: Michael Meyer.
Series: Applied mathematics -- 17
Publisher: Chapman & Hall/CRC
Published: 2001
Place of publication: Boca Raton, FL
Language: eng
Number of pages: 319
Subjects: Finance -- Mathematical models.; Stochastic analysis.
Description: "This text provides a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand the construction of the stochastic integral with respect to a general continuous semimartingale."--BOOK JACKET.
Notes: Includes bibliographical references (p. 313) and index.