Stochastic calculus and financial applications
著者
書誌事項
Stochastic calculus and financial applications
（Applications of mathematics, 45）
Springer-Verlag, c2001, 2010
- : hard
- : pbk
並立書誌 全2件
大学図書館所蔵 件 / 全84件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references (p. [293]-295) and index
内容説明・目次
- 巻冊次
-
: hard ISBN 9780387950167
内容説明
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, 'This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract'. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
目次
Random Walk and First Step Analysis * First Martingale Steps * Brownian Motion * Martingale--Next Steps * Richness of Paths * Ito Integration * Localization and Ito's Integral * Ito's Formula * Stochastic Differential Equations * Arbitrage and SDE's * The Diffusion Equation * Representation Theorems * Girsanov Theory * Arbitrage and Martingales * The Feynman-Kac Connection
- 巻冊次
-
: pbk ISBN 9781441928627
内容説明
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas.
From the reviews: "As the preface says, 'This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract'. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
目次
Random Walk and First Step Analysis * First Martingale Steps * Brownian Motion * Martingale--Next Steps * Richness of Paths * Ito Integration * Localization and Ito's Integral * Ito's Formula * Stochastic Differential Equations * Arbitrage and SDE's * The Diffusion Equation * Representation Theorems * Girsanov Theory * Arbitrage and Martingales * The Feynman-Kac Connection
「Nielsen BookData」 より