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Stochastic calculus and applications

By: Contributor(s): Material type: TextTextSeries: Probability and its ApplicationsPublication details: New York Birkhauser 2015Edition: 2nd edDescription: xxiii, 666 pISBN:
  • 9781493928668
Subject(s): DDC classification:
  • 519.232 C6S8-2015
Summary: Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples, and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications." (http://www.springer.com/gp/book/9781493928668)
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Holdings
Item type Current library Item location Collection Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 28-B / Slot 1403 (0 Floor, East Wing) Non-fiction General Stacks 519.232 C6S8-2015 (Browse shelf(Opens below)) Available 192871

Table of Contents:

Part I: Measure Theoretic Probability

Part II: Stochastic Processes

Part III: Stochastic Integration

Part IV: Stochastic Differential Equations

Part V: Applications

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry.

New features of this edition include:

End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples, and explanatory material; Increased focus on motivating the mathematics; Extensive topical index.

"Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."

(http://www.springer.com/gp/book/9781493928668)

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