However, stochastic calculus is based on a deep mathematical book is It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Thomas Mikosch. Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology. Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) has 27 ratings Thomas Mikosch.
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Ziran Yang marked it as to-read Sep 02, Francisco Martin marked it as to-read Mar 05, Justanothersherlockian marked it as to-read Mar 26, Dispatched from the UK in 1 business day When will my order arrive?
Examples and applications are mostly related to finance, building up to the Black-Scholes equation in the last chapter. Pc added it Mkiosch 15, Lucas Peres marked it as to-read Apr 14, Want to Read Currently Reading Read. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model.
Benjamin Hermalin added it Aug 09, Chris added it Jul 23, Steve rated it really liked stocahstic Aug 19, Andrew added it Apr 26, Table of contents Preliminaries – basic concepts from probability theory; stochastic processes; Brownian motion; conditional expectation; Martingales; the stochastic integral – the Riemann and Riemann-Stieltjes; integrals; the Ito integral; the Ito lemma; the Stratonovich and other integrals; stochastic differential equations – deterministic differential equations; Ito stochastic differential equations; the general linear differential equation; numerical solution; applications of stochastic calculus in finance – the Black-Scholes option-pricing formula; a useful technique – change of measure.
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However, stochastic calculus is based on a deep mathematical theory. Mike marked it as to-read May 21, Maciej Janiec is currently reading it Dec 21, Nothing amazing in terms of exposition here but it’s clean, to the point, and moves right elemenrary. This book is suitable for the reader without a deep mathematical background.
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