This book provides a concise introduction to stochastic calculus with
some of its applications in mathematical finance, engineering and the
sciences. Applications in finance include pricing of financial
derivatives, such as options on stocks, exotic options and interest
rate options. The filtering problem and its solution is presented as
an application in engineering. Population models and randomly
perturbed equations of physics are given as examples of applications
in biology and physics. Only a basic knowledge of calculus and
probability is required for reading the book. The text takes the
reader from a fairly low technical level to a sophisticated one
gradually. Heuristic arguments are often given before precise results
are stated, and many ideas are illustrated by worked-out examples.
Exercises are provided at the end of chapters to help to test
readers' understanding. This book is suitable for advanced
undergraduate students, graduate students as well as research workers
and practitioners.
Applied calculus
(Deborah Hughes-Hallett... [et al.]; with the assistance of Otto K. Brescher, Eric Connally, Richard D. Porter; coordinated by Elliot J. Marks; ISBN: 0471207926;
79% match)
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