Introduction to Stochastic Calculus - 9789811083174-image

Introduction to Stochastic Calculus - 9789811083174

$ 55.84

ISBN: 9789811083174 Book Title: Introduction to Stochastic Calculus gtin13: 9789811083174 Country of Origin: United States

Description

Introduction to Stochastic Calculus Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Author(s): Rajeeva L. Karandikar, B. V. Rao Format: Hardback Publisher: Springer Verlag, Singapore, Singapore Imprint: Springer Verlag, Singapore ISBN-13: 9789811083174, 978-9811083174 Synopsis This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using MetivierPellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.

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