Elementary Stochastic Calculus, with Fin

Thomas Mikosch
World Scientific Pub Co Inc
 9789810235437
981-02-3543-7

Modelling with the It integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus.

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is based on a deep mathematical theory.This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, 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. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about It calculus and/or stochastic finance.