Stochastic calculus and financial applications / J. Michael Steele

Auteur principal : Steele, J. Michael, 1949-, John Michael, AuteurType de document : MonographieCollection : Applications of mathematics, 45Langue : anglais.Pays: Etats Unis.Éditeur : New York : Springer, 2001Description : 1 vol. (IX-300 p.) ; 24 cmISBN: 9780387950167.ISSN: 0172-4568.Bibliographie : Bibliogr. p. [293]-295. Index.Sujet MSC : 60H05, Probability theory and stochastic processes - Stochastic analysis, Stochastic integrals
60-01, Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory
60G44, Probability theory and stochastic processes, Martingales with continuous parameter
91Bxx, Game theory, economics, finance, and other social and behavioral sciences - Mathematical economicsEn-ligne : Springerlink | Zentralblatt | MathSciNet
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Item type Current library Call number Status Date due Barcode
Monographie Monographie CMI
Salle 1 		60 STE (Browse shelf(Opens below)) Available 06466-01

This book gives an introduction to stochastic calculus for Brownian motion with applications in mathematical finance. In fact, the theory of option pricing and hedging in complete Itô process models provides the motivation for a detailed development of the tools required to obtain and understand these results. The major part of the book is about stochastic calculus. (Zentralblatt)

Bibliogr. p. [293]-295. Index

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