Buy Elementary Stochastic Calculus, With Finance In View 1st ed. by Thomas Mikosch (ISBN: ) from Amazon’s Book Store. Everyday low prices. Buy [Elementary Stochastic Calculus, with Finance in View] [by: Thomas Mikosch] by Thomas Mikosch (ISBN:) from Amazon’s Book Store. Everyday low prices. However, stochastic calculus is based on a deep mathematical theory. Elementary Stochastic Calculus with Finance in View. Front Cover ยท Thomas Mikosch.

Author: Vudojinn Maukasa
Country: Tunisia
Language: English (Spanish)
Genre: Relationship
Published (Last): 4 July 2008
Pages: 455
PDF File Size: 20.70 Mb
ePub File Size: 12.19 Mb
ISBN: 611-7-29133-769-9
Downloads: 79307
Price: Free* [*Free Regsitration Required]
Uploader: Gardahn

Goodreads is the world’s largest site for readers with over 50 million reviews. Applications are taken from stochastic finance.

But I recommend reading it many times. Most helpful customer reviews on Amazon. Indeed, it does not go into too much sgochastic and hence, if you are not a pure mathematician, you will still be able to get the idea and the key points of the field. 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. Product description Review “This book under review can be determined as a very successful work This is based on physics and on the meaning of uniqueness of solutions: By using our website you agree to our use of cookies.

Elementary Stochastic Calculus, With Finance in View: 6: Thomas Mikosch: : Books

Mikoscb students should be able calcukus give it at least a first reading in a couple of days. Amazon Web Services Goodreads Shopbop. In the span of pages, the author succeeds admirably in balancing the needs of three audiences at leasti math students, ii students from neighboring areas finance, economics, statistics, actuarial science, engineering, and more ; and iii readers who want a quick intro to the basic ideas of stochastic analysis, and its applications.


Hedging Derivatives Thorsten Rheinlander. Review by Palle Jorgensen, June Stochastic Calculus for Finance I: A Primer for the Mathematics of Financial Engineering.

Elementary Stochastic Calculus, With Finance In View

Customers who bought this item also bought. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model.

The financial view is especially available in the last chapter though, but it is really not a problem because I think that it is nearly impossible mikoshc apply finance to stochastic calculus without having gone through the whole book first you need the whole theory to apply it.

I found this textbook extremely teaching-oriented and an excellent introduction to a very cwlculus subject, such as stochastic calculus. When I teach a first course in the subject, I find that students have a hard time grasping the meaning of solutions to stochastic differential equations: Table of contents Preliminaries – basic concepts from probability theory; stochastic processes; Brownian motion; conditional expectation; Martingales; the stochastic integral thomss the Riemann and Riemann-Stieltjes; integrals; the Ito integral; the Ito lemma; the Stratonovich and other integrals; stochastic differential equations – deterministic differential equations; Ito stochastic differential equations; the general linear differential equation; numerical solution; applications of stochastic calculus in finance – the Black-Scholes option-pricing formula; a useful technique – change of measure.


While not packed with finance examples until the last chapter, the author attempts to provide what is needed of the subject matter to successfully complete stocbastic first semester course in Stochastic Calculus. Check out the top books of the year on our page Best Books of Other books in this series.

Be the first to review this item. Read this small book before reading Shreve’s volume II book.

Elementary Stochastic Calculus, with Finance in View – Thomas Mikosch – Google Books

It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. The intuition and the basic tools of Ito elementaru. Facts, Models, Theory Albert N.

However, stochastic calculus is based on a deep mathematical theory. The Best Books of We use cookies to give you the best possible experience. It can be strongly recommended to graduate students and practitioners in the field of finance and economics. Now no short book can cover everything, but what the author does so well is presenting main ideas, so readers who need more can get started;

Author: admin