Skip to content

Stochastic Calculus and Financial Applications

Spend $50 to get a free DVD!

ISBN-10: 0387950168

ISBN-13: 9780387950167

Edition: 2001

Authors: J. M. Steele

List price: $99.00
Blue ribbon 30 day, 100% satisfaction guarantee!
Out of stock
what's this?
Rush Rewards U
Members Receive:
Carrot Coin icon
XP icon
You have reached 400 XP and carrot coins. That is the daily max!


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…    
Customers also bought

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