Introduction to Stochastic Calculus with Applications
Introduction to Stochastic Calculus with Applications This book presents a concise and rigorous treatment of stochastic calculus. In finance, the stochastic calculus is applied to pricing options by…
Specifikacia Introduction to Stochastic Calculus with Applications
Introduction to Stochastic Calculus with Applications
This book presents a concise and rigorous treatment of stochastic calculus. In finance, the stochastic calculus is applied to pricing options by no arbitrage. It also gives its main applications in finance, biology and engineering.
Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering.
It is also suitable for researchers to gain working knowledge of the subject. It contains many solved examples and exercises making it
Introduction to Stochastic Processes