Stochastic Calculus and Financial Applications:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer New York
2001
|
| Schriftenreihe: | Applications of Mathematics, Stochastic Modelling and Applied Probability
45 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic |
| Beschreibung: | 1 Online-Ressource (IX, 300p. 3 illus) |
| ISBN: | 9781468493054 9781441928627 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-1-4684-9305-4 |
Internformat
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV042421187 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 150317s2001 |||| o||u| ||||||eng d | ||
| 020 | |a 9781468493054 |c Online |9 978-1-4684-9305-4 | ||
| 020 | |a 9781441928627 |c Print |9 978-1-4419-2862-7 | ||
| 024 | 7 | |a 10.1007/978-1-4684-9305-4 |2 doi | |
| 035 | |a (OCoLC)863991830 | ||
| 035 | |a (DE-599)BVBBV042421187 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-384 |a DE-703 |a DE-91 |a DE-634 | ||
| 082 | 0 | |a 519.2 |2 23 | |
| 084 | |a MAT 000 |2 stub | ||
| 100 | 1 | |a Steele, J. Michael |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Stochastic Calculus and Financial Applications |c by J. Michael Steele |
| 264 | 1 | |a New York, NY |b Springer New York |c 2001 | |
| 300 | |a 1 Online-Ressource (IX, 300p. 3 illus) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Applications of Mathematics, Stochastic Modelling and Applied Probability |v 45 |x 0172-4568 | |
| 500 | |a This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic | ||
| 650 | 4 | |a Mathematics | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Distribution (Probability theory) | |
| 650 | 4 | |a Mathematical statistics | |
| 650 | 4 | |a Probability Theory and Stochastic Processes | |
| 650 | 4 | |a Quantitative Finance | |
| 650 | 4 | |a Statistical Theory and Methods | |
| 650 | 4 | |a Mathematik | |
| 650 | 0 | 7 | |a Stochastische Analysis |0 (DE-588)4132272-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastischer Prozess |0 (DE-588)4057630-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Wirtschaftsmathematik |0 (DE-588)4066472-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastische Optimierung |0 (DE-588)4057625-5 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Stochastische Analysis |0 (DE-588)4132272-1 |D s |
| 689 | 0 | 1 | |a Wirtschaftsmathematik |0 (DE-588)4066472-7 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 689 | 1 | 0 | |a Stochastische Analysis |0 (DE-588)4132272-1 |D s |
| 689 | 1 | 1 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 1 | |8 2\p |5 DE-604 | |
| 689 | 2 | 0 | |a Stochastische Optimierung |0 (DE-588)4057625-5 |D s |
| 689 | 2 | |8 3\p |5 DE-604 | |
| 689 | 3 | 0 | |a Stochastischer Prozess |0 (DE-588)4057630-9 |D s |
| 689 | 3 | |8 4\p |5 DE-604 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/978-1-4684-9305-4 |x Verlag |3 Volltext |
| 912 | |a ZDB-2-SMA |a ZDB-2-BAE | ||
| 940 | 1 | |q ZDB-2-SMA_Archive | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-027856604 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 2\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 3\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 4\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Datensatz im Suchindex
| _version_ | 1804153093958402048 |
|---|---|
| any_adam_object | |
| author | Steele, J. Michael |
| author_facet | Steele, J. Michael |
| author_role | aut |
| author_sort | Steele, J. Michael |
| author_variant | j m s jm jms |
| building | Verbundindex |
| bvnumber | BV042421187 |
| classification_tum | MAT 000 |
| collection | ZDB-2-SMA ZDB-2-BAE |
| ctrlnum | (OCoLC)863991830 (DE-599)BVBBV042421187 |
| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2 |
| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4684-9305-4 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03999nmm a2200685zcb4500</leader><controlfield tag="001">BV042421187</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">150317s2001 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781468493054</subfield><subfield code="c">Online</subfield><subfield code="9">978-1-4684-9305-4</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781441928627</subfield><subfield code="c">Print</subfield><subfield code="9">978-1-4419-2862-7</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/978-1-4684-9305-4</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)863991830</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV042421187</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-91</subfield><subfield code="a">DE-634</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519.2</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">MAT 000</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Steele, J. Michael</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Stochastic Calculus and Financial Applications</subfield><subfield code="c">by J. Michael Steele</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York, NY</subfield><subfield code="b">Springer New York</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (IX, 300p. 3 illus)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Applications of Mathematics, Stochastic Modelling and Applied Probability</subfield><subfield code="v">45</subfield><subfield code="x">0172-4568</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Distribution (Probability theory)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematical statistics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Probability Theory and Stochastic Processes</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Quantitative Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistical Theory and Methods</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematik</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastische Analysis</subfield><subfield code="0">(DE-588)4132272-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastischer Prozess</subfield><subfield code="0">(DE-588)4057630-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wirtschaftsmathematik</subfield><subfield code="0">(DE-588)4066472-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastische Optimierung</subfield><subfield code="0">(DE-588)4057625-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Stochastische Analysis</subfield><subfield code="0">(DE-588)4132272-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Wirtschaftsmathematik</subfield><subfield code="0">(DE-588)4066472-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Stochastische Analysis</subfield><subfield code="0">(DE-588)4132272-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="8">2\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="2" ind2="0"><subfield code="a">Stochastische Optimierung</subfield><subfield code="0">(DE-588)4057625-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2=" "><subfield code="8">3\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="3" ind2="0"><subfield code="a">Stochastischer Prozess</subfield><subfield code="0">(DE-588)4057630-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="3" ind2=" "><subfield code="8">4\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1007/978-1-4684-9305-4</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-2-SMA</subfield><subfield code="a">ZDB-2-BAE</subfield></datafield><datafield tag="940" ind1="1" ind2=" "><subfield code="q">ZDB-2-SMA_Archive</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-027856604</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">2\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">3\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">4\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield></record></collection> |
| id | DE-604.BV042421187 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:08Z |
| institution | BVB |
| isbn | 9781468493054 9781441928627 |
| issn | 0172-4568 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027856604 |
| oclc_num | 863991830 |
| open_access_boolean | |
| owner | DE-384 DE-703 DE-91 DE-BY-TUM DE-634 |
| owner_facet | DE-384 DE-703 DE-91 DE-BY-TUM DE-634 |
| physical | 1 Online-Ressource (IX, 300p. 3 illus) |
| psigel | ZDB-2-SMA ZDB-2-BAE ZDB-2-SMA_Archive |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Springer New York |
| record_format | marc |
| series2 | Applications of Mathematics, Stochastic Modelling and Applied Probability |
| spelling | Steele, J. Michael Verfasser aut Stochastic Calculus and Financial Applications by J. Michael Steele New York, NY Springer New York 2001 1 Online-Ressource (IX, 300p. 3 illus) txt rdacontent c rdamedia cr rdacarrier Applications of Mathematics, Stochastic Modelling and Applied Probability 45 0172-4568 This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic Mathematics Finance Distribution (Probability theory) Mathematical statistics Probability Theory and Stochastic Processes Quantitative Finance Statistical Theory and Methods Mathematik Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Wirtschaftsmathematik (DE-588)4066472-7 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Stochastische Optimierung (DE-588)4057625-5 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 s Wirtschaftsmathematik (DE-588)4066472-7 s 1\p DE-604 Finanzmathematik (DE-588)4017195-4 s 2\p DE-604 Stochastische Optimierung (DE-588)4057625-5 s 3\p DE-604 Stochastischer Prozess (DE-588)4057630-9 s 4\p DE-604 https://doi.org/10.1007/978-1-4684-9305-4 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Steele, J. Michael Stochastic Calculus and Financial Applications Mathematics Finance Distribution (Probability theory) Mathematical statistics Probability Theory and Stochastic Processes Quantitative Finance Statistical Theory and Methods Mathematik Stochastische Analysis (DE-588)4132272-1 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Wirtschaftsmathematik (DE-588)4066472-7 gnd Finanzmathematik (DE-588)4017195-4 gnd Stochastische Optimierung (DE-588)4057625-5 gnd |
| subject_GND | (DE-588)4132272-1 (DE-588)4057630-9 (DE-588)4066472-7 (DE-588)4017195-4 (DE-588)4057625-5 |
| title | Stochastic Calculus and Financial Applications |
| title_auth | Stochastic Calculus and Financial Applications |
| title_exact_search | Stochastic Calculus and Financial Applications |
| title_full | Stochastic Calculus and Financial Applications by J. Michael Steele |
| title_fullStr | Stochastic Calculus and Financial Applications by J. Michael Steele |
| title_full_unstemmed | Stochastic Calculus and Financial Applications by J. Michael Steele |
| title_short | Stochastic Calculus and Financial Applications |
| title_sort | stochastic calculus and financial applications |
| topic | Mathematics Finance Distribution (Probability theory) Mathematical statistics Probability Theory and Stochastic Processes Quantitative Finance Statistical Theory and Methods Mathematik Stochastische Analysis (DE-588)4132272-1 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Wirtschaftsmathematik (DE-588)4066472-7 gnd Finanzmathematik (DE-588)4017195-4 gnd Stochastische Optimierung (DE-588)4057625-5 gnd |
| topic_facet | Mathematics Finance Distribution (Probability theory) Mathematical statistics Probability Theory and Stochastic Processes Quantitative Finance Statistical Theory and Methods Mathematik Stochastische Analysis Stochastischer Prozess Wirtschaftsmathematik Finanzmathematik Stochastische Optimierung |
| url | https://doi.org/10.1007/978-1-4684-9305-4 |
| work_keys_str_mv | AT steelejmichael stochasticcalculusandfinancialapplications |