Introduction to Stochastic Calculus with Applications  book cover
1st Edition

Introduction to Stochastic Calculus with Applications

  • Available for pre-order. Item will ship after January 15, 2021
ISBN 9781466570801
January 15, 2021 Forthcoming by Chapman and Hall/CRC
250 Pages

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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.

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