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Brownian Motion Calculus
Brownian Motion Calculus
by Ubbo F. Wiersema
  • Publisher: Wiley
  • Year: 2010
  • ISBN: 9780470021705 (Paperback)
  • 313 pp
Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives, while using several examples of Mathematica. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites. Contents
Brownian Motion | Martingales | Ito Stochastic Integral | Ito Calculus | Stochastic Differential Equations | Option Valuation | Change of Probability | Numeraire | Annexes | Annex A: Computations with Brownian Motion | Annex B: ordinary integration | Annex C: Brownian Motion Variability | Annex D: Norms | Annex E: Convergence Concepts Related Topics
Calculus and Analysis, Differential Equations, Economics and Finance
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