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Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability, Band 45) - Softcover

Buch 26 von 30: Stochastic Modelling and Applied Probability

Steele, J. Michael

 
9781441928627: Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability, Band 45)
Softcover
ISBN 10: 1441928626 ISBN 13: 9781441928627
Verlag: Springer, 2010

Inhaltsangabe

This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad­ vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on 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 de­ manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate­ rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic.

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Von der hinteren Coverseite

This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad­ vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on 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 de­ manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate­ rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic.

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Verlag
Springer
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
1441928626
ISBN 13 
9781441928627
Einband
Taschenbuch
Anzahl der Seiten
312
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