Stochastic calculus and financial applications / J. Michael Steele.

By: Steele, J. Michael Material type: Text

TextLanguage: English Series: Applications of mathematics ; 45Publication details: New York : Springer, c2001. Description: ix, 300 p. : 25 cmISBN: 0387950168 (hc : alk. paper); 9780387950167Subject(s): Stochastic analysis | Business mathematicsDDC classification: 519.2 LOC classification: QA274.2 | .S74 2000Online resources: WorldCat details | E-book Fulltext

Contents:

TOC Random Walk and First Step Analysis -- First Martingale Steps -- Brownian Motion -- Martingale: The Next Steps -- Richness of Paths -- Itô Integration -- Localization and Itô's Integral -- Itô's Formula -- Stochastic Differential Equations -- Arbitrage and SDEs -- The Diffusion Equation -- Representation Theorem -- Girsanov Theory -- Arbitrage and Martingales -- The Feynman-Kac Connection -- Appendix I. Mathematical Tools -- Appendix II. Comments and Credits -- Bibliography -- Index.

Summary: "This book is designed for students who want to develop professional skills in stochastic calculus and its application to problems in finance. The Wharton School course on which the book is based is designed for energetic students who have had some experience with probability and statistics, but who have not had advanced courses in stochastic processes. Even though the course assumes only a modest background, it

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Title notes ( 5 )
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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
E-Book	Dr. S. R. Lasker Library, EWU E-book	Non-fiction	519.2 STS 2001 (Browse shelf(Opens below))	Not for loan
Text	Dr. S. R. Lasker Library, EWU Reserve Section	Non-fiction	519.2 STS 2001 (Browse shelf(Opens below))	Not For Loan		26964

Total holds: 0

Includes bibliographical references (p. [294]-295) and index.

TOC Random Walk and First Step Analysis --
First Martingale Steps --
Brownian Motion --
Martingale: The Next Steps --
Richness of Paths --
Itô Integration --
Localization and Itô's Integral --
Itô's Formula --
Stochastic Differential Equations --
Arbitrage and SDEs --
The Diffusion Equation --
Representation Theorem --
Girsanov Theory --
Arbitrage and Martingales --
The Feynman-Kac Connection --
Appendix I. Mathematical Tools --
Appendix II. Comments and Credits --
Bibliography --
Index.

"This book is designed for students who want to develop professional skills in stochastic calculus and its application to problems in finance. The Wharton School course on which the book is based is designed for energetic students who have had some experience with probability and statistics, but who have not had advanced courses in stochastic processes. Even though the course assumes only a modest background, it

Economics BA

Sagar Shahanawaz

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