Introduction To Stochastic Calculus With Applications (3Rd Edition) Paperback – 21 Mar 2012
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It contains many worked out examples while the stochastic calculus is presented in a concentrated but transparent form. -- Professor Robert Liptser, Tel Aviv University --This text refers to the Hardcover edition.
From the Inside Flap
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 worked-out 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. The 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.
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Top Customer Reviews
The second edition contains a new chapter on bonds and interest rates, and incorporates more worked-out examples throughout. The discussion of the Stratanovich formulation of Ito's calculus has been moved from the final chapter in the first edition, to the last section of chapter 5 on SDEs. Also at the back of the book there are many answers provided to the selected exercises. For fully grasping the concepts presented, having a background in real analysis and measure theory is helpful but not completely necessary.Read more ›
The content itself is great and it only needs a modicum of maths and calculus knowledge. (Not sure about readability on Kindle, as per other reviewer negative feedback.)
Highly recommend to finance quants both junior and senior.
Most Recent Customer Reviews
Speedy Delivery and as described. Book is good although it lacks examples and some more transparency over calculations. Good to start understanding basic Stochastic processesPublished on 13 Mar. 2014 by Konstantinos Pagonis
On Android most formulae appear very small and cannot be read. I tested this with both a Nexus 7 and a Samsung Galaxy S2Published on 17 Sept. 2012 by Alessio
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