Stochastic Calculus and Financial Applications

Name: Stochastic Calculus and Financial Applications
Price: 53.13 USD
Availability: InStock
ISBN: 9780387950167

ISBN-10: 0387950168

ISBN-13: 9780387950167

Edition: 2001

Authors: J. M. Steele

List price: $99.00

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Description:

The Wharton School course on which the book is based is designed for energetic students who have had some experience with probability and statistics, but who have not had advanced courses in stochastic processes. Even though the course assumes only a modest background, it moves quickly and - in the end - students can expect to have the tools that are deep enough and rich enough to be relied upon throughout their professional careers.The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more demanding…

Book details

List price: $99.00
Copyright year: 2001
Publisher: Springer
Publication date: 6/27/2003
Binding: Hardcover
Pages: 302
Size: 6.25" wide x 9.50" long x 0.75" tall
Weight: 1.232
Language: English



Random Walk and First Step Analysis


First Martingale Steps


Brownian Motion


Martingale--Next Steps


Richness of Paths


It+' Integration


Localization and It+'s Integral


It+'s Formula


Stochastic Differential Equations


Arbitrage and SDE's


The Diffusion Equation


Representation Theorems


Girsanov Theory


Arbitrage and Martingales


The Feynman-Kac Connection