This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that ar. It gives 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.

Author:Dikazahn Kagataxe
Country:New Zealand
Language:English (Spanish)
Published (Last):23 July 2014
PDF File Size:19.59 Mb
ePub File Size:20.71 Mb
Price:Free* [*Free Regsitration Required]

Would you like to tell us about a lower price? If you are a seller for this product, would you like to suggest updates through seller support? 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 book is suitable for the reader without a deep mathematical background.

It gives 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. Read more Read less. Frequently bought together. Add all three to Cart. These items are shipped from and sold by different sellers. Show details. Ships from and sold by Amazon US. Ships from and sold by Amazon SG. FREE Delivery. Customers who viewed this item also viewed. Page 1 of 1 Start over Page 1 of 1. Previous page. Brownian Motion, Martingales, and Stochastic Calculus. Jean-Francois Le Gall. The Concepts and Practice of Mathematical Finance.

Next page. Review "This book under review can be determined as a very successful work It can be strongly recommended to graduate students and practitioners in the field of finance and economics. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model.

Customers who bought this item also bought. Advances in Financial Machine Learning. Marcos Lopez de Prado. No customer reviews. How does Amazon calculate star ratings?

The machine learned model takes into account factors including: the age of a review, helpfulness votes by customers and whether the reviews are from verified purchases. Review this product Share your thoughts with other customers. Write a customer review. Most helpful customer reviews on Amazon.

Verified Purchase. In the span of pages, the author succeeds admirably in balancing the needs of three audiences at least , i math students, ii students from neighboring areas finance, economics, statistics, actuarial science, engineering, and more ; and iii readers who want a quick intro to the basic ideas of stochastic analysis, and its applications. Now no short book can cover everything, but what the author does so well is presenting main ideas, so readers who need more can get started; This is tricky, as almost all traditional math courses are "deterministic.

This is based on physics and on the meaning of uniqueness of solutions: some function which satisfies a PDE and initial or boundary conditions. When I teach a first course in the subject, I find that students have a hard time grasping the meaning of solutions to stochastic differential equations: the meaning of sample paths as solutions.

The intuition and the basic tools of Ito calculus. The author's approach is to start with the most important examples, and to explain their meaning, and their uses: Brownian motion, geometric Bm. Later in the book, the Black Scholes and its relevance for pricing of financial derivatives are covered. This reviewer has found in teaching beginning graduate courses for a mixed audience of students, both math, and applied, see i - ii above. I feel it is a great supplement to any course in this or related subjects.

Most students should be able to give it at least a first reading in a couple of days. But I recommend reading it many times. Review by Palle Jorgensen, June Read this small book before reading Shreve's volume II book. The sections on conditional expectataions, martingales, and Brownian motion are well written and simple enough to understand.

While not packed with finance examples until the last chapter, the author attempts to provide what is needed of the subject matter to successfully complete a first semester course in Stochastic Calculus. Once read, it's a great second reference. This book is an extremely good introduction to the stochastic calculus field. Indeed, it does not go into too much details and hence, if you are not a pure mathematician, you will still be able to get the idea and the key points of the field.

However, if you are really familiar with math and the probability theories, you might want to go for a more hardcore approach to this field. This book provides clear definitions, clear theorems, the quality of the book itself is very good rather small, solid pages.

The financial view is especially available in the last chapter though, but it is really not a problem because I think that it is nearly impossible to apply finance to stochastic calculus without having gone through the whole book first you need the whole theory to apply it. I found this textbook extremely teaching-oriented and an excellent introduction to a very hard subject, such as stochastic calculus. I would definitely recommend it for a Master's level financial engineering course.

Go to Amazon. Back to top. Get to Know Us. Shopbop Designer Fashion Brands. Alexa Actionable Analytics for the Web. DPReview Digital Photography.


Elementary Stochastic Calculus, With Finance In View

We use cookies to give you the best possible experience. By using our website you agree to our use of cookies. Dispatched from the UK in 2 business days When will my order arrive? Thomas Mikosch. Soren Asmussen. Nicolas Privault.







Related Articles