Introduction to Stochastic Calculus with Applications

Front Cover
Imperial College Press, Jan 1, 2005 - Mathematics - 416 pages
2 Reviews
This book presents a concise and rigorous 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.
  

What people are saying - Write a review

User Review - Flag as inappropriate

Its a very good introductory book about stochastic calculus esp. for continous part.
Brownian Motion Part was explained very in detail.
however, there are tons of typo in the book. You must read it very carefully and better discuss what you thought with your classmates.

Contents

1 Preliminaries From Calculus
1
2 Concepts of Probability Theory
21
3 Basic Stochastic Processes
55
4 Brownian Motion Calculus
91
5 Stochastic Differential Equations
123
6 Diffusion Processes
149
7 Martingales
183
8 Calculus For Semimartingales
211
10 Change of Probability Measure
267
Stock and FX Options
287
Bonds Rates and Options
323
13 Applications in Biology
351
14 Applications in Engineering and Physics
375
Solutions to Selected Exercises
391
References
407
Index
413

9 Pure Jump Processes
249

Common terms and phrases

References to this book

All Book Search results »

Bibliographic information