Brownian motion calculus
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Brownian motion calculus by Ubbo F. Wiersema

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Published by John Wiley & Sons in Chichester, Hoboken, NJ .
Written in English

Subjects:

  • Finance -- Mathematical models,
  • Brownian motion processes

Book details:

Edition Notes

Includes bibliographical references and index.

StatementUbbo F Wiersema.
SeriesWiley finance series
Classifications
LC ClassificationsHG106 .W54 2008
The Physical Object
Paginationp. cm.
ID Numbers
Open LibraryOL19931060M
ISBN 109780470021705
LC Control Number2008007641

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Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the/5. Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. Brownian Motion and Stochastic Calculus book. Read reviews from world’s largest community for readers. A graduate-course text, written for readers famili /5(38). Stochastic Differential Notation. Taylor Expansion in Ordinary Calculus. Ito's Formula as a Set of Rules. Illustrations of Ito's Formula. Levy Characterization of Brownian Motion. Combinations of Brownian Motions. Multiple Correlated Brownian Motions. Area under a Brownian Motion Path - Revisited.

“‘The aim of this book is to provide a rigorous introduction to the theory of stochastic calculus for continuous semi-martingales putting a special emphasis on Brownian motion.’ If the reader has the background and needs a rigorous treatment of the subject this book would be a good : Springer International Publishing.   Brownian Motion and Stochastic Calculus: Edition 2 - Ebook written by Ioannis Karatzas, Steven Shreve. Read this book using Google Play Books app on your PC, android, iOS devices. Download for offline reading, highlight, bookmark or take notes while you read Brownian Motion and Stochastic Calculus: Edition /5(1). Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical : Wiley. Brownian Motion and Stochastic Calculus, 2nd Edition Ioannis Karatzas, Steven E. Shreve A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time.