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Stochastic Calculus and Financial Applications

by J. Michael Steele

  • ISBN: 9780387950167
  • ISBN10: 0387950168

Stochastic Calculus and Financial Applications

by J. Michael Steele

  • List Price: $99.00
  • Binding: Hardcover
  • Publisher: Springer Verlag
  • Publish date: 10/01/2000
  • ISBN: 9780387950167
  • ISBN10: 0387950168
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Description: This book is designed for readers who want to develop professional skills in stochastic calculus and its application to problems in finance. The presentation begins with simple random walks and the analysis of gambling games. This material is used to motivate the theory of martingales, continuous time stochastic processes, Brownian motion, the Ito integral, Black-Scholes PDE, and arbitrage pricing. Stochastic processes of importance in finance and economics are developed in concert with the tools of stochastic calculus that are needed in order to solve problems of practical importance.
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