| 书目名称 | Stochastic Calculus and Financial Applications |
| 编辑 | J. Michael Steele |
| 视频video | |
| 丛书名称 | Stochastic Modelling and Applied Probability |
| 图书封面 |  |
| 描述 | This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development |
| 出版日期 | Textbook 2001 |
| 关键词 | Stochastic Differential Equations; Stochastic Processes; Stochastic calculus; Uniform integrability; Var |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-1-4684-9305-4 |
| isbn_softcover | 978-1-4419-2862-7 |
| isbn_ebook | 978-1-4684-9305-4Series ISSN 0172-4568 Series E-ISSN 2197-439X |
| issn_series | 0172-4568 |
| copyright | Springer Science+Business Media New York 2001 |
发表于 2025-3-21 19:53:20
