Introduction to Stochastic Calculus with Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Introduction to Stochastic Calculus with Applications write by Fima C. Klebaner. This book was released on 2005. Introduction to Stochastic Calculus with Applications available in PDF, EPUB and Kindle. This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Stochastic Calculus and Financial Applications
Stochastic Calculus and Financial Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Calculus and Financial Applications write by J. Michael Steele. This book was released on 2012-12-06. Stochastic Calculus and Financial Applications available in PDF, EPUB and Kindle. Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Stochastic Calculus and Applications
Stochastic Calculus and Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Calculus and Applications write by Samuel N. Cohen. This book was released on 2015-11-18. Stochastic Calculus and Applications available in PDF, EPUB and Kindle. Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)
Informal Introduction To Stochastic Calculus With Applications, An (Second Edition)
Informal Introduction To Stochastic Calculus With Applications, An (Second Edition) - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Informal Introduction To Stochastic Calculus With Applications, An (Second Edition) write by Ovidiu Calin. This book was released on 2021-11-15. Informal Introduction To Stochastic Calculus With Applications, An (Second Edition) available in PDF, EPUB and Kindle. Most branches of science involving random fluctuations can be approached by Stochastic Calculus. These include, but are not limited to, signal processing, noise filtering, stochastic control, optimal stopping, electrical circuits, financial markets, molecular chemistry, population dynamics, etc. All these applications assume a strong mathematical background, which in general takes a long time to develop. Stochastic Calculus is not an easy to grasp theory, and in general, requires acquaintance with the probability, analysis and measure theory.The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author's goal was to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus.The second edition contains several new features that improved the first edition both qualitatively and quantitatively. First, two more chapters have been added, Chapter 12 and Chapter 13, dealing with applications of stochastic processes in Electrochemistry and global optimization methods.This edition contains also a final chapter material containing fully solved review problems and provides solutions, or at least valuable hints, to all proposed problems. The present edition contains a total of about 250 exercises.This edition has also improved presentation from the first edition in several chapters, including new material.
Stochastic Calculus
Stochastic Calculus - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Calculus write by Paolo Baldi. This book was released on 2017-11-09. Stochastic Calculus available in PDF, EPUB and Kindle. This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions. After explaining the basic elements of probability, the author introduces more advanced topics such as Brownian motion, martingales and Markov processes. The core of the book covers stochastic calculus, including stochastic differential equations, the relationship to partial differential equations, numerical methods and simulation, as well as applications of stochastic processes to finance. The final chapter provides detailed solutions to all exercises, in some cases presenting various solution techniques together with a discussion of advantages and drawbacks of the methods used. Stochastic Calculus will be particularly useful to advanced undergraduate and graduate students wishing to acquire a solid understanding of the subject through the theory and exercises. Including full mathematical statements and rigorous proofs, this book is completely self-contained and suitable for lecture courses as well as self-study.
