Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This text should be suitable for the reader without a deep mathematical background. It seeks to provide an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived.
Product code: 9789810235437
| ISBN |
9789810235437 |
| Series |
Advanced Series on Statistical Science & Applied Probability |
| No. Of Pages |
224 |
| Publisher |
World Scientific Publishing Co Pte Ltd |