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Introduction to stochastic calculus with applications

Author: Fima C Klebaner
Publisher: London : Imperial College Press ; Singapore : Distributed by World Scientific Pub., ©2005.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Summary:

Presents a concise treatment of stochastic calculus and its applications. This book covers advanced applications, such as models in mathematical finance, biology and engineering. It is useful as a  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Fima C Klebaner
ISBN: 186094566X 9781860945663 1860945554 9781860945557
OCLC Number: 61263806
Description: xiii, 416 pages : illustrations ; 23 cm
Contents: Preliminaries from calculus --
Concepts of probability theory --
Basic stochastic processes --
Brownian motion calculus --
Stochastic differential equations --
Diffusion processes --
Martingales --
Calculus for semimartingales --
Pure jump processes --
Change of probability measure --
Applications in finance : stock and FX options --
Applications in finance : bonds, rates and options --
Applications in biology --
Applications in engineering and physics.
Responsibility: Fima C. Klebaner.
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"The material in the book is presented concisely ... it contains many worked out examples while the stochastic calculus is presented in a concentrated but transparent form." Professor Robert Liptser Read more...

 
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