Buy Best Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) (Advanced Series on Statistical Science and Applied Probability) for $50.21

Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) (Advanced Series on Statistical Science and Applied Probability)

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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.

Contents: Preliminaries: Basic Concepts from Probability Theory; Stochastic Processes; Brownian Motion; Conditional Expectation; Martingales; The Stochastic Integral: The Riemann and Riemann Stieltjes Integrals; The Itô Integral; The Itô Lemma; The Stratonovich and Other Integrals; Stochastic Differential Equations: Deterministic Differential Equations; Itô Stochastic Differential Equations; The General Linear Differential Equation; Numerical Solution; Applications of Stochastic Calculus in Finance: The Black Scholes Option-Pricing Formula; A Useful Technique: Change of Measure; Appendices: Modes of Convergence; Inequalities; Non-Differentiability and Unbounded Variation of Brownian Sample Paths; Proof of the Existence of the General Itô Stochastic Integral; The Radon Nikodym Theorem; Proof of the Existence and Uniqueness of the Conditional Expectation.

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Order Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) for $44.17

Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.

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• Stochastic Differential Equations: An Introduction with Applications (Universitext)
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• Diffusions, Markov Processes, and Martingales: Volume 1, Foundations (Cambridge Mathematical Library)
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• Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus (Cambridge Mathematical Library)

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Best Offer Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (v. 53) for $56.77

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (v. 53)

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

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• Options, Futures, and Other Derivatives and DerivaGem CD Package (8th Edition)

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Best Price Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) for $29.96

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

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• Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

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