Matches in Harvard for { <http://id.lib.harvard.edu/aleph/008538762/catalog> ?p ?o. }
Showing items 1 to 24 of
24
with 100 items per page.
- catalog abstract ""This book is designed for students who want to develop professional skills in stochastic calculus and its application to problems in finance. 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 on 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 evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral and aims to provide a development that is honest and complete without being pedantic."--Jacket.".
- catalog contributor b11945012.
- catalog created "c2001.".
- catalog date "2001".
- catalog date "c2001.".
- catalog dateCopyrighted "c2001.".
- catalog description ""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 evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral and aims to provide a development that is honest and complete without being pedantic."--Jacket.".
- catalog description ""This book is designed for students who want to develop professional skills in stochastic calculus and its application to problems in finance. 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 on throughout their professional careers."".
- catalog description "Includes bibliographical references (p. [294]-295) and index.".
- catalog description "Random Walk and First Step Analysis -- First Martingale Steps -- Brownian Motion -- Martingale: The Next Steps -- Richness of Paths -- Itô Integration -- Localization and Itô's Integral -- Itô's Formula -- Stochastic Differential Equations -- Arbitrage and SDEs -- The Diffusion Equation -- Representation Theorem -- Girsanov Theory -- Arbitrage and Martingales -- The Feynman-Kac Connection -- Appendix I. Mathematical Tools -- Appendix II. Comments and Credits -- Bibliography -- Index.".
- catalog extent "ix, 300 p. ;".
- catalog identifier "0387950168 (hc : alk. paper)".
- catalog isPartOf "Applications of mathematics ; 45".
- catalog issued "2001".
- catalog issued "c2001.".
- catalog language "eng".
- catalog publisher "New York : Springer,".
- catalog subject "519.2 21".
- catalog subject "Business mathematics.".
- catalog subject "QA274.2 .S74 2000".
- catalog subject "Stochastic analysis.".
- catalog tableOfContents "Random Walk and First Step Analysis -- First Martingale Steps -- Brownian Motion -- Martingale: The Next Steps -- Richness of Paths -- Itô Integration -- Localization and Itô's Integral -- Itô's Formula -- Stochastic Differential Equations -- Arbitrage and SDEs -- The Diffusion Equation -- Representation Theorem -- Girsanov Theory -- Arbitrage and Martingales -- The Feynman-Kac Connection -- Appendix I. Mathematical Tools -- Appendix II. Comments and Credits -- Bibliography -- Index.".
- catalog title "Stochastic calculus and financial applications / J. Michael Steele.".
- catalog type "text".