Stochastic Calculus and Financial Applications
Home > Mathematics and Science Textbooks > Mathematics > Probability and statistics > Stochastic Calculus and Financial Applications: (v. 45 Stochastic Modelling and Applied Probability)
Stochastic Calculus and Financial Applications: (v. 45 Stochastic Modelling and Applied Probability)

Stochastic Calculus and Financial Applications: (v. 45 Stochastic Modelling and Applied Probability)


     0     
5
4
3
2
1



Available


X
About the Book

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, 'This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract'. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH

Table of Contents:
Random Walk and First Step Analysis * First Martingale Steps * Brownian Motion * Martingale--Next Steps * Richness of Paths * Ito Integration * Localization and Ito's Integral * Ito's Formula * Stochastic Differential Equations * Arbitrage and SDE's * The Diffusion Equation * Representation Theorems * Girsanov Theory * Arbitrage and Martingales * The Feynman-Kac Connection

Review :
From the reviews: MATHEMATICAL REVIEWS "...on the whole, the results are presented carefully and thoroughly, and I expect that readers will find that this combination of a careful development of stochastic calculus with many details and examples is very useful and will enable them to apply the whole theory confidently." SHORT BOOK REVIEWS "This is a world of 'lovely exercises' that are 'very good good for the soul', 'honest martingales', 'bedrock approximations', portfolios that are 'born to lose', 'intuitive but bogus arguments', and 'embarrassingly crude insights'. In short, this is a book on stochastic calculus of a different flavour. Intuition is not sacrificed for rigour nor rigour for intuition.The main results are reinforced with simple special cases, and only when the intuitive foundations are laid does the auhtor resort to the formalism of probability. The coverage is limited to the essentials but nevertheless includes topics that will catch the eye of experts (such as the wavelet construction of Brownian motion). This is one of the most interesting and easiest reads in the discipline; a gem of a book." JOURNAL OF THE AMERICAN STOCHASTIC ASSOCIATION "The book is indeed well written, with many insightful comments. I certainly would recommend it to students wishing to learn stochastic calculus and its applications to the Black-Sholes option-pricing theory...I thoroughly enjoyed reading this book. The author is to be complimented for his efforts in providing many useful insights behind the various theories. It is a superb introduction to stochastic calculus and Brownian motion...An interesting feature in this book is its coverage of partial differential equations." "It is clear that this is a fairly comprehensive introduction to the tools of (classical) mathematical finance. ... the text has much to offer. ... In addition, the writing style is refreshingly informal and makes a book about a rather technical subject surprisingly enjoyable to read. In short, despite the recent deluge of textbooks in this area, I know of no better book for self-study." (Christian Kleiber, Statistical Papers, Vol. 46 (2), 2005) "Steele's book is a sophisticated introduction to stochastic calculus with applications from basic Black-Scholes theory. ... I highly recommend the book. His style is wonderful, and concepts really build on one another. ... it offers one of the most elegant treatments of the subject that I know of." (www.riskbook.com, May, 2006) "As is clear from the title of this book, it is concerned with applications of stochastic calculus to finance. ... one naturally judges the book by three criteria: topic selection, organization, and exposition. In all three domains the book succeeds. The topics selected are rich enough ... he or she will benefit from the book. ... there are innovations as well ... from the pedagogic standpoint." (Philip Protter, SIAM Review, Vol. 43 (4), 2001) "This book offers rich information and a mathematically honest treatment of stochastic calculus and of its use in the theory of finance ... . The author gradually builds the reader's ability to grasp stochastic concepts and techniques ... . the author's presentation of stochastic models in finance and economy is precise and extensive ... . Each chapter is accompanied by a collection of rather challenging exercises ... ." (EMS Newsletter, December, 2002) "The present book 'is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance'. ... the textbook ... retains a lovely lecture style focusing basic ideas and not formalities and technical details of stochastic processes needed for finance. I can strongly recommend this book to students of mathematics and physics as well as non-experts in probability theory who are interested in stochastic finance." (H. -J. Girlich, Zeitschrift fur Analysis und ihre Anwendungen, Vol. 21 (4), 2002) "The last few years have been a fertile period for books on stochastic calculus and its financial implications, but this one differs from the many mainstream treatments ... . The style of the book creates the atmosphere of a lively lecture ... . Each chapter ends with a section of carefully chosen exercises, preceded by some motivating remarks. ... I really liked the book." (R. Grubel, Statistics & Decisions, Vol. 20 (4), 2002) "This book gives an introduction to stochastic calculus ... with applications in mathematical finance. ... As the preface says, 'This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract'. This is also reflected in the style of writing which is unusually lively for a mathematics book. ... on the whole, the results are presented carefully and thoroughly ... ." (Martin Schweizer, Zentralblatt MATH, Vol. 962, 2001) "This is a book on stochastic calculus of a different flavour. Intuition is not sacrificed for rigour nor rigour for intuition. The main results are reinforced with simple special cases ... . This is one of the most interesting and easiest reads in the discipline; a gem of a book." (D. L. McLeish, Short Book Reviews, Vol. 21 (1), 2001)



Product Details
  • ISBN-13: 9780387950167
  • Publisher: Springer-Verlag New York Inc.
  • Publisher Imprint: Springer-Verlag New York Inc.
  • Height: 234 mm
  • Returnable: N
  • Spine Width: 19 mm
  • Width: 156 mm
  • ISBN-10: 0387950168
  • Publisher Date: 12 Oct 2000
  • Binding: Hardback
  • Language: English
  • Series Title: v. 45 Stochastic Modelling and Applied Probability
  • Weight: 1370 gr


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
Stochastic Calculus and Financial Applications: (v. 45 Stochastic Modelling and Applied Probability)
Springer-Verlag New York Inc. -
Stochastic Calculus and Financial Applications: (v. 45 Stochastic Modelling and Applied Probability)
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

Stochastic Calculus and Financial Applications: (v. 45 Stochastic Modelling and Applied Probability)

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept


    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!