Elementary Stochastic Calculus, With Finance In View
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An elementary introduction to modelling with Ito integral or stochastic differential equations, 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.
| Autor: | Mikosch, Thomas |
| Nakladatel: | World Scientific Publishing Co Pte Ltd |
| ISBN: | 9789810235437 |
| Rok vydání: | 1998 |
| Jazyk : | Angličtina |
| Vazba: | Hardback |
| Počet stran: | 224 |
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