Name: Introduction to Stochastic Calculus (Indian Statistical Institute Series) (en Inglés)
Price: 452.83 PEN
Availability: InStock
Author: Rajeeva L. Karandikar; B. V. Rao
ISBN: 9789811341212

portada Introduction to Stochastic Calculus (Indian Statistical Institute Series) (en Inglés)

Formato

Libro Físico

Editorial

Springer

Autor

Rajeeva L. Karandikar; B. V. Rao

Año

2019

Idioma

Inglés

N° páginas

456

Encuadernación

Tapa Blanda

ISBN13

9789811341212

Categorías

Probabilidad y estadística

Introduction to Stochastic Calculus (Indian Statistical Institute Series) (en Inglés)

Rajeeva L. Karandikar; B. V. Rao (Autor) · Springer · Tapa Blanda

Libro Físico

S/ 452,83

S/ 905,65

Ahorras: S/ 452,83

50% descuento

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Reseña del libro "Introduction to Stochastic Calculus (Indian Statistical Institute Series) (en Inglés)"

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier-Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.