ELEMENTARY STOCHASTIC CALCULUS, WITH FINANCE IN VIEW

by Thomas Mikosch

Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory.This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Itô calculus and/or stochastic finance.

Genres: Finance, Mathematics

224 pages, Hardcover

First published October 30, 1998

Reviews

[Kevin · Rating 4 out of 5]

The math itself is interesting - expands and generalizes notions of integral calculus in particular. Nothing amazing in terms of exposition here but it's clean, to the point, and moves right along. Easy to get something out of it without a huge time commitment.

[Ülviyyə Ibrahimli · Rating 5 out of 5]

This book provides a good and basic understanding of stochastic calculus without diving deep into pure mathematics (measure theory is almost completely avoided). Examples and applications are mostly related to finance, building up to the Black-Scholes equation in the last chapter. It's a great introductory text for self-study to understand more complex texts and books on financial mathematics.

[Noah H · Rating 4 out of 5]

A well-explained overview of the key concepts of stochastic processes and integrals, with suitable examples of solvable SDEs and Ito integrals. Readable by anyone with a cursory knowledge of multivariable calc and probability theory, and differential equations wouldn't hurt either.

[Yuxi Liu · Rating 4 out of 5]

A great start to get survival-level stochastic calculus and martingale transform. I read it in about 5 days.