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Stochastic Modelling and Applied Probability Ser.: Stochastic Calculus and Financial Applications by J. M. Steele (2003, Hardcover)

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Condition Notes: Pages and cover are intact. Used book in good and clean conditions. Limited notes marks and highlighting may be present. May show signs of normal shelf wear and bends on edges. Item may be missing CDs or access codes.

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Product Information

The Wharton School course on which the book is based is designed for energetic students who have had some experience with probability and statistics, but who have not had advanced courses in stochastic processes. Even though the course assumes only a modest background, it moves quickly and - in the end - students can expect to have the tools that are deep enough and rich enough to be relied upon throughout their professional careers.The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more demanding development of continuous time stochastic process, especially Brownian motion. The construction of Brownian motion is given in detail, and enough material on the subtle properties of Brownian paths is developed so that the student should sense of when intuition can be trusted and when it cannot. The course then takes up the It¿ integral and aims to provide a development that is honest and complete without being pedantic. With the It¿ integral in hand, the course focuses more on models.Stochastic processes of importance in Finance and Economics are developed in concert with the tools of stochastic calculus that are needed in order to solve problems of practical importance. The financial notion of replication is developed, and the Black-Scholes PDE is derived by three different methods. The course then introduces enough of the theory of the diffusion equationto be able to solve the Black-Scholes PDE and prove the uniqueness of thesolution.

Product Identifiers

Publisher
Springer
ISBN-10
0387950168
ISBN-13
9780387950167
eBay Product ID (ePID)
1727234

Product Key Features

Author
J. M. Steele
Publication Name
Stochastic Calculus and Financial Applications
Format
Hardcover
Language
English
Publication Year
2003
Series
Stochastic Modelling and Applied Probability Ser.
Type
Textbook
Number of Pages
X, 302 Pages

Dimensions

Item Length
9.3in
Item Height
0.3in
Item Width
6.1in
Item Weight
48.3 Oz

Additional Product Features

Series Volume Number
45
Lc Classification Number
Qa274.2.S74 2000
Reviews
From the reviews: MATHEMATICAL REVIEWS "a? on the whole, the results are presented carefully and thoroughly, and I expect that readers will find that this combination of a careful development of stochastic calculus with many details and examples is very useful and will enable them to apply the whole theory confidently." SHORT BOOK REVIEWS "This is a world of 'lovely exercises' that are 'very good good for the soul', 'honest martingales', 'bedrock approximations', portfolios that are 'born to lose', 'intuitive but bogus arguments', and 'embarrassingly crude insights'. In short, this is a book on stochastic calculus of a different flavour. Intuition is not sacrificed for rigour nor rigour for intuition.The main results are reinforced with simple special cases, and only when the intuitive foundations are laid does the auhtor resort to the formalism of probability. The coverage is limited to the essentials but nevertheless includes topics that will catch the eye of experts (such as the wavelet construction of Brownian motion). This is one of the most interesting and easiest reads in the discipline; a gem of a book." JOURNAL OF THE AMERICAN STOCHASTIC ASSOCIATION "The book is indeed well written, with many insightful comments. I certainly would recommend it to students wishing to learn stochastic calculus and its applications to the Black-Sholes option-pricing theorya? I thoroughly enjoyed reading this book. The author is to be complimented for his efforts in providing many useful insights behind the various theories. It is a superb introduction to stochastic calculus and Brownian motiona? An interesting feature in this book is its coverage of partial differential equations."
Table of Content
Random Walk and First Step Analysis * First Martingale Steps * Brownian Motion * Martingale--Next Steps * Richness of Paths * ItÃ' Integration * Localization and ItÃ''s Integral * ItÃ''s Formula * Stochastic Differential Equations * Arbitrage and SDE's * The Diffusion Equation * Representation Theorems * Girsanov Theory * Arbitrage and Martingales * The Feynman-Kac Connection
Copyright Date
2001
Target Audience
Scholarly & Professional
Topic
Probability & Statistics / Stochastic Processes, Probability & Statistics / General, General, Economics / General
Lccn
00-025890
Dewey Decimal
519.2
Dewey Edition
21
Illustrated
Yes
Genre
Business & Economics, Mathematics, Medical

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Picture 1 of 1

Stochastic Modelling and Applied Probability Ser.: Stochastic Calculus and Financial Applications by J. M. Steele (2003, Hardcover)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

All listings for this product

item 1 Stochastic Calculus and Financial Applications (Stochastic Modelling and App...

item 2 Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied

item 3 Stochastic Calculus and Financial Applications by J M Steele: Used

item 4 Stochastic Calculus and Financial Applications by Michael Steele

item 5 Stochastic Calculus and Financial Applications (Stochastic Modelling and Appl...

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Encyclopedia of Counseling : Master Review and Tutorial for the National Counselor Examination, State Counseling Exams, and the Counselor Preparation Comprehensive Examination by Howard Rosenthal (2017, Trade Paperback, Revised edition,New Edition)

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