Stochastic calculus and financial applications
By: J. Michael Steele
Series: Applications of mathematics -- 45
Publisher: Springer
Published: 2001
Place of publication: New York
Language: eng
Number of pages: 300
Subjects: Stochastic analysis; Business mathematics
First sentence: Preface
This book is designed for students who want to develop professional skil in stochastic calculus and its applicatio to problems in finance.
Description: A graduate level methematical introduction to stochastic calculus using financial applications as examples.  Starts with the discrete stochastic process then quickly moves on to continuous stochastic process.  Suggested prerequisite courses are calculus I, II, and III (multivariate calculus), ordinary differential equations (ODE), partial differential equations (PDE), and probability and measure theory.  A prior course in stochastic process is not necessary.  Some readers on Amazon.com have suggested that real analysis (advanced calculus) may also be a prerequisite.  Author is a professor of statistics at University of Pennsylvania and this book is used in his class for advanced MBA (or Finance PhD) students at Wharton.
Notes: Includes bibliographical references (p. [293]-295) and index
Table of contents: label: 1
title: Random Walk and First Step Analysis
pagenum: 1; label: 1.1
title: First Step Analysis
pagenum: 1; label: 1.2
title: Time and Infinity
pagenum: 2; label: 1.3
title: Tossing an Unfair Coin
pagenum: 5; label: 1.4
title: Numerical Calculation and Intuition
pagenum: 7; label: 1.5
title: First Steps with Generating Functions
pagenum: 7; label: 1.6
title: Exercises
pagenum: 9; label: 2
title: First Martingale Steps
pagenum: 11; label: 3
title: Browian Motion
pagenum: 29; label: 4
title: Martingales: The Next Steps
pagenum: 43