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A graduate level methematical introduction to stochastic calculus using financial applications as examples. Starts with the discrete stochastic process then quickly moves on to continuous stochastic process. Suggested prerequisite courses are calculus I, II, and III (multivariate calculus), ordinary differential equations (ODE), partial differential equations (PDE), and probability and measure theory. A prior course in stochastic process is not necessary. Some readers on Amazon.com have suggested that real analysis (advanced calculus) may also be a prerequisite. Author is a professor of statistics at University of Pennsylvania and this book is used in his class for advanced MBA (or Finance PhD) students at Wharton.
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Previews available in: English
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Stochastic analysis, Business mathematicsShowing 2 featured editions. View all 2 editions?
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Stochastic Calculus and Financial Applications
June 3, 2003, Springer
in English
0387950168 9780387950167
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Book Details
First Sentence
"The fountainhead of the theory of stochastic processes is simple random walk."
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- Created April 29, 2008
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July 30, 2014 | Edited by ImportBot | import new book |
April 6, 2014 | Edited by ImportBot | Added IA ID. |
August 5, 2010 | Edited by IdentifierBot | added LibraryThing ID |
April 24, 2010 | Edited by Open Library Bot | Fixed duplicate goodreads IDs. |
April 29, 2008 | Created by an anonymous user | Imported from amazon.com record |