Stochastic calculus and financial applications

A graduate level methematical introduction to stochastic calculus using financial applications as examples. Starts with the discrete stochastic process then quickly moves on to continuous stochastic process. Suggested prerequisite courses are calculus I, II, and III (multivariate calculus), ordinary differential equations (ODE), partial differential equations (PDE), and probability and measure theory. A prior course in stochastic process is not necessary. Some readers on Amazon.com have suggested that real analysis (advanced calculus) may also be a prerequisite. Author is a professor of statistics at University of Pennsylvania and this book is used in his class for advanced MBA (or Finance PhD) students at Wharton.

המשפט הראשון: The fountainhead of the theory of stochastic processes is simple random walk.

שנה

2001

שפה

English

הוצאה

Springer

מהדורות

1

עמודים

344

ISBN

9780387950167

מקור הנתונים: Wikidata