確率解析と金融への応用<br>Stochastic Calculus and Financial Applications (Applications of Mathematics) 〈Vol.45〉

確率解析と金融への応用
Stochastic Calculus and Financial Applications (Applications of Mathematics) 〈Vol.45〉

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  • 製本 Hardcover:ハードカバー版／ページ数 300 p.
  • 商品コード 9780387950167

基本説明

Based on the Wharton School course.

Full Description

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, 'This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract'. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH

Contents

Random Walk and First Step Analysis * First Martingale Steps * Brownian Motion * Martingale--Next Steps * Richness of Paths * Ito Integration * Localization and Ito's Integral * Ito's Formula * Stochastic Differential Equations * Arbitrage and SDE's * The Diffusion Equation * Representation Theorems * Girsanov Theory * Arbitrage and Martingales * The Feynman-Kac Connection