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Stochastic calculus and financial applications

by J. Michael Steele · 2001

Cover of Stochastic calculus and financial applications
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A graduate level methematical introduction to stochastic calculus using financial applications as examples. Starts with the discrete stochastic process then quickly moves on to continuous stochastic process. Suggested prerequisite courses are calculus I, II, and III (multivariate calculus), ordinary differential equations (ODE), partial differential equations (PDE), and probability and measure theory. A prior course in stochastic process is not necessary. Some readers on Amazon.com have suggested that real analysis (advanced calculus) may also be a prerequisite. Author is a professor of statistics at University of Pennsylvania and this book is used in his class for advanced MBA (or Finance PhD) students at Wharton.

Stochastic analysisBusiness mathematicsAnalyse stochastiqueMathématiques financièresStochastische analyseMartingalenFinancieel managementPortfolio-analyseFinanzmathematikStochastische AnalysisStochastische OptimierungWirtschaftsmathematik