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A First Course in Stochastic Calculus - Louis-Pierre Arguin

A First Course in Stochastic Calculus

Buch | Softcover
270 Seiten
2022
American Mathematical Society (Verlag)
978-1-4704-6488-2 (ISBN)
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A complete guide for advanced undergraduate students to take the next step in exploring probability theory and for master's students in mathematical finance who would like to build an intuitive and theoretical understanding of stochastic processes.
A First Course in Stochastic Calculus is a complete guide for advanced undergraduate students to take the next step in exploring probability theory and for master's students in mathematical finance who would like to build an intuitive and theoretical understanding of stochastic processes. This book is also an essential tool for finance professionals who wish to sharpen their knowledge and intuition about stochastic calculus.

Louis-Pierre Arguin offers an exceptionally clear introduction to Brownian motion and to random processes governed by the principles of stochastic calculus. The beauty and power of the subject are made accessible to readers with a basic knowledge of probability, linear algebra, and multivariable calculus. This is achieved by emphasizing numerical experiments using elementary Python coding to build intuition and adhering to a rigorous geometric point of view on the space of random variables. This unique approach is used to elucidate the properties of Gaussian processes, martingales, and diffusions. One of the book's highlights is a detailed and self-contained account of stochastic calculus applications to option pricing in finance.

Louis-Pierre Arguin, Baruch College, City University of New York, NY, and Graduate Center, City University of New York, NY.

Basic notions of probability
Gaussian processes
Properties of Brownian motion
Martingales
Ito calculus
Multivariate Ito calculus
Ito processes and stochastic differential equations
The Markov property
Change of probability
Applications to mathematical finance
Bibliography
Index

Erscheinungsdatum
Reihe/Serie Pure and Applied Undergraduate Texts
Verlagsort Providence
Sprache englisch
Maße 178 x 254 mm
Gewicht 511 g
Themenwelt Mathematik / Informatik Mathematik Angewandte Mathematik
Mathematik / Informatik Mathematik Wahrscheinlichkeit / Kombinatorik
ISBN-10 1-4704-6488-8 / 1470464888
ISBN-13 978-1-4704-6488-2 / 9781470464882
Zustand Neuware
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