## Elementary Stochastic Calculus With Finance In View

**Author by :** Thomas Mikosch

**Language :** en

**Publisher by :** World Scientific

**Format Available :** PDF, ePub, Mobi

**Total Read :** 70

**Total Download :** 785

**File Size :** 55,6 Mb

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