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Introduction to stochastic calculus with applications

Author: Fima C Klebaner
Publisher: Singapore ; London : World Scientific, 2011.
Edition/Format:   Print book : English : 3rd edView all editions and formats
Database:WorldCat
Summary:
This text presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering.
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Document Type: Book
All Authors / Contributors: Fima C Klebaner
ISBN: 9781848168312 1848168314 9781848168329 1848168322
OCLC Number: 751836214
Description: xiv, 438 pages : illustrations ; 24 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.

Abstract:

Presents a treatment of stochastic calculus. This title gives its main applications in finance, biology and engineering. It presents the theory of stochastic calculus and its applications to an  Read more...

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