Stochastic calculus and financial applications / J. Michael Steele.
Series: Applications of mathematics ; 45Publication details: New York : Springer, c2001.Description: ix, 300 p. ; 25 cmISBN:- 0387950168 (hc : alk. paper)
- QA274.2.S74 2001
| Item type | Current library | Collection | Call number | Status | Barcode | |
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Strathmore University (Main Library) Open Shelf | BOOK | QA274.2.S74 2001 | Available | 81375 | |
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Strathmore University (Main Library) Open Shelf | BOOK | QA274.2.S74 2001 | Available | 81376 | |
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Strathmore University (Main Library) Open Shelf | BOOK | QA274.2.S74 2001 | Available | 81377 | |
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Strathmore University (Main Library) Open Shelf | BOOK | QA274.2.S74 2001 | Available | 81379 |
Includes bibliographical references (p. [294]-295) and index.
Table of contents
1. Random Walk and First Step Analysis;
2. First Martingale Steps;
3. Brownian motion;
4. Martingale--Next Steps;
5. Richness of Paths;
6. Ito´ Integration;
7. Localization and Ito´'s Integral;
8. Ito´'s Formula;
9. Stochastic Differential Equations;
10. Arbitrage and SDE's;
11. The Diffusion Equation;
12. Representation Theorems;
13. Girsanov Theory;
14. Arbitrage and Martingales;
15. The Feynman-Kac Connection.
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