Introduction to stochastic calculus with applications
 Author/Creator
 Klebaner, Fima C.
 Language
 English.
 Edition
 3rd ed.
 Imprint
 London : Imperial College Press ; Singapore : Dist. by World Scientific Press, c2012.
 Physical description
 xiv, 438 p. ; 24 cm.
Access
Available online

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QA274.2 .K54 2012

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QA274.2 .K54 2012
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Contents/Summary
 Bibliography
 Includes bibliographical references (p. 429434) and index.
 Contents

 Preliminaries from Calculus Concepts of Probability Theory Basic Stochastic Processes Brownian Motion Calculus Stochastic Differential Equations Diffusion Processes Martingales Calculus for Semimartingales Pure Jump Processes Change of Probability Measure Applications in Finance: Stock and FX Options Applications in Finance: Bonds, Rates and Options Applications in Biology Applications in Engineering and Physics.
 (source: Nielsen Book Data)
 Publisher's Summary
 This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition. This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering. It is also suitable for researchers to gain working knowledge of the subject. It contains many solved examples and exercises making it suitable for self study. In the book many of the concepts are introduced through workedout examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. This book covers models in mathematical finance, biology and engineering. For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises.
(source: Nielsen Book Data)
Subjects
Bibliographic information
 Publication date
 2012
 Responsibility
 Fima C. Klebaner.
 ISBN
 9781848168312 (hbk.)
 1848168314 (hbk.)
 9781848168329 (pbk.)
 1848168322 (pbk.)