This book is designed for students who want to develop professional
skill in stochastic calculus and its application to problems in
finance. The Wharton School course that forms the basis for this book
is designed for energetic students who have had some experience with
probability and statistics but have not had ad vanced courses in
stochastic processes. Although the course assumes only a modest
background, it moves quickly, and in the end, students can expect to
have tools that are deep enough and rich enough to be relied on
throughout their professional careers. The course begins with simple
random walk and the analysis of gambling games. This material is used
to motivate the theory of martingales, and, after reaching a decent
level of confidence with discrete processes, the course takes up the
more de manding development of continuous-time stochastic processes,
especially Brownian motion. The construction of Brownian motion is
given in detail, and enough mate rial on the subtle nature of
Brownian paths is developed for the student to evolve a good sense of
when intuition can be trusted and when it cannot. The course then
takes up the Ito integral in earnest. The development of stochastic
integration aims to be careful and complete without being pedantic.
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Produktdetaljer
ISBN
9781468493054
Publisert
2020
Utgiver
Vendor
Springer
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter