+612 9045 4394
Introduction to Stochastic Calculus with Applications - Fima C. Klebaner

Introduction to Stochastic Calculus with Applications

Paperback Published: 22nd March 2012
ISBN: 9781848168329
Number Of Pages: 438

Share This Book:


RRP $113.00
or 4 easy payments of $20.81 with Learn more
In Stock
Enter an Australian post code for delivery estimate

Earn 167 Qantas Points
on this Book

This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. 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. 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 suitable for self study.In the book many of the concepts are introduced through worked-out examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. The book covers models in mathematical finance, biology and engineering. For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises.

Preliminaries from Calculus; Concepts of Probability Theory; Basic Stochastic Processes; Brownian Motion Calculus; Stochastic Differential Equations; Diffusion Processes; Martingales; Calculus for Semimartingales; Pure Jump Processes; Change of Probability Measure; Applications in Finance: Stock and FX Options; Applications in Finance: Bonds, Rates and Options; Applications in Biology; Applications in Engineering and Physics.

ISBN: 9781848168329
ISBN-10: 1848168322
Audience: General
Format: Paperback
Language: English
Number Of Pages: 438
Published: 22nd March 2012
Publisher: Imperial College Press
Country of Publication: GB
Dimensions (cm): 22.8 x 15.3  x 2.4
Weight (kg): 0.66
Edition Number: 3
Edition Type: Revised

Earn 167 Qantas Points
on this Book

This product is categorised by