Introduction To Stochastic Calculus With Applications - Hardcover

Klebaner, Fima C

Hardcover

ISBN 10: 1860945554 ISBN 13: 9781860945557

Verlag: Imperial College Press, 2005

Inhaltsangabe

Book by Fima C Klebner

Über diesen Titel

Críticas

"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 Tel Aviv University Reviews of the First Edition "... hard to find books on stochastic analysis which present such a wide spectrum of results with relatively modest prerequisites." Mathematical Reviews "It provides a good introduction to stochastic analysis, leaving out several of the more technical proofs. The variety of examples and exercises suggests to use the book for self-studies." Zentralblatt MATH

Reseña del editor

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.

Details zur Ausgabe

• Verlag: Imperial College Press
• Erscheinungsdatum: 2005
• ISBN 10: 1860945554
• ISBN 13: 9781860945557
• Einband: Tapa dura
• Sprache: Englisch
• Auflage: 2
• Anzahl der Seiten: 432