Elementary stochastic calculus, with finance in view
Auteur :
Mikosch, Thomas
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789810235437
Date de publication :
2 nov. 1998
Langue :
Anglais
Pays d'origine :
Singapour
An elementary introduction to modelling with Ito integral or stochastic differential equations, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived.