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Introduction to Stochastic Calculus with Applications

Autor Fima C. Klebaner
en Limba Engleză Hardback – 20 mar 2012
Presents a treatment of stochastic calculus. This title gives its main applications in finance, biology and engineering. It presents the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability.
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  Imperial College Press – 20 mar 2012 40243 lei  6-8 săpt. +6805 lei  5-11 zile
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Specificații

ISBN-13: 9781848168312
ISBN-10: 1848168314
Pagini: 438
Dimensiuni: 157 x 229 x 30 mm
Greutate: 0.77 kg
Ediția:3
Editura: Imperial College Press

Cuprins

Preliminaries from Calculus; Concepts of Probability Theory; Basic Stochastic Processes; Brownian Motion Calculus; Stochastic Differential Equations; Diffusion Processes; Martingales; Calculus for Semimartingales; Pure Jump Processes; Change of Probability Measure; Applications in Finance: Stock and FX Options; Applications in Finance: Bonds, Rates and Options; Applications in Biology; Applications in Engineering and Physics.