Introduction To Stochastic Calculus With Applications Klebaner, Fima C

Klebaner, Fima C.; C, Klebaner Fima

ISBN 10: 186094129X / ISBN 13: 9781860941290

Verlag: World Scientific Publishing Co, 1999

Beschreibung

Imperial College Press, 2001, in-8 cartonnage éditeur, 321 pages. Jaquette apparemment absente. Solide couverture en bon état général. Intérieur frais. Exemplaire de bibliothèque : petit code barre en pied de 1re de couv., cotation au dos, rares et discrets petits tampons à l?intérieur de l?ouvrage. [BT41]. Bestandsnummer des Verkäufers 0620ZB519V4

Bibliografische Details

Titel: Introduction To Stochastic Calculus With ...

Verlag: World Scientific Publishing Co

Erscheinungsdatum: 1999

Einband: Hardcover

Zustand: Used: Very Good

Zustand des Schutzumschlags: Schutzumschlag

Auflage: 3. Auflage

Über diesen Titel

Inhaltsangabe:

This book provides a concise introduction to stochastic calculus with some of its applications in mathematical finance, engineering and the sciences. Applications in finance include pricing of financial derivatives, such as options on stocks, exotic options and interest rate options. The filtering problem and its solution is presented as an application in engineering. Population models and randomly perturbed equations of physics are given as examples of applications in biology and physics.Only a basic knowledge of calculus and probability is required for reading the book. The text takes the reader from a fairly low technical level to a sophisticated one gradually. Heuristic arguments are often given before precise results are stated, and many ideas are illustrated by worked-out examples. Exercises are provided at the end of chapters to help to test readers' understanding. This book is suitable for advanced undergraduate students, graduate students as well as research workers and practitioners.

Críticas:

"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 "This book is an excellent introduction to a subject which often presents difficulties to the student of probability ... The numerous exercises are both challenging and illuminating. I greatly enjoyed the book, and can recommend it unreservedly to all probabilists and statisticians wishing to acquire a working knowledge of the stochastic calculus. For libraries, it is an absolute 'must'." Australian & New Zealand Journal of Statistics, 1999 "... the author does a good job at achieving a difficult objective ... the text is best suited for the mathematically inclined graduate student in engineering ... It fills a niche in the literature, as it is hard to find books on stochastic analysis which present such a wide spectrum of results with relatively modest prerequisites." Mathematical Reviews, 2002