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Elementary Stochastic Calculus, With Finance In View

About Elementary Stochastic Calculus, With Finance In View

An elementary introduction to modelling with Ito integral or stochastic differential equations, 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.

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  • Language:
  • English
  • ISBN:
  • 9789810235437
  • Binding:
  • Hardback
  • Pages:
  • 224
  • Published:
  • November 1, 1998
  • Dimensions:
  • 163x224x20 mm.
  • Weight:
  • 474 g.
  In stock
Delivery: 3-5 business days
Expected delivery: November 24, 2024

Description of Elementary Stochastic Calculus, With Finance In View

An elementary introduction to modelling with Ito integral or stochastic differential equations, 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.

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