Full title: Elementary stochastic calculus with finance in view / Thomas Mikosch.

Author/creator: Mikosch, Thomas.

Date: 1998..

Call Numbers: N519.2/32

Record Identifier: 74VvNWZ3gkm3

Language: English

Formats: Books

Contents: ix, 212 p. ; 23 cm., 1. Preliminaries -- 2. The Stochastic Integral -- 3. Stochastic Differential Equations -- 4. Applications of Stochastic Calculus in Finance -- App. A1. Modes of Convergence -- App. A2. Inequalities -- App. A3. Non-Differentiability and Unbounded Variation of Brownian Sample Paths -- App. A4. Proof of the Existence of the General Ito Stochastic Integral -- App. A5. The Radon-Nikodym Theorem -- App. A6. Proof of the Existence and Uniqueness of the Conditional Expectation.

Publishers: Singapore ; River Edge, N.J. : World Scientific Publ., 1998.

Notes: Advanced series on statistical science and applied probability ; v. 6. Includes bibliographical references and index.

Permalink: https://collection.sl.nsw.gov.au/record/74VvNWZ3gkm3

DDC: 519.2

MMS ID: 991012960779702626