From measures to itô integrals
Auteur :
Kopp, Ekkehard
Éditeur :
Cambridge University Press
ISBN :
9781107400863
Date de publication :
31 mars 2011
Dimensions :
21,6 x 13,8 x 0,7 cm
Poids :
170 g
Format :
Trade paperback (US)
Langue :
Anglais
Pays d'origine :
Grande Bretagne
This concise introduction to the background theory of stochastic processes begins with a clear account of measure theory and leads up to the Itô formula and its basic applications in Black–Scholes theory. Ideal for beginning graduate students, this treatment is reasonably rigorous and includes carefully chosen exercises.