1st Edition

Introduction to Stochastic Calculus with Applications

ISBN 9781466570801
Published January 15, 2021 by Chapman and Hall/CRC
250 Pages

USD $59.95

Prices & shipping based on shipping country


Book Description

This text balances accessibility and rigor in teaching stochastic calculus to advanced undergraduate and graduate students in mathematics, economics, and finance. Avoiding the measure-theoretic formalism, the author presents the material in a natural order and keeps technical ideas to a minimum. Any technical material is covered in sections that are separate from the main text. Students are encouraged to write computer programs using C++, MATLAB®, or Mathematica®.

Table of Contents

Martingales in Discrete Time. Brownian Motion. Stochastic Integration. More Stochastic Calculus. Change of Measure and Girsanov Theorem. Jump Processes.

View More