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Brownian Motion Calculus
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Brownian Motion Calculus
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Book Hero Magic created this recommendation. While it's new and still learning, it may not be perfect - your feedback is welcome! IS THIS YOUR NEXT READ?
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See moreThere are not many calculus books that are very accessible to students without a strong mathematical background and the large majority of financial derivatives students do not have a strong quantitative background. This book provides a short introduction to the subject with examples of its use in mathematical finance e. g pricing of derivatives.
Book Hero Magic formatted this description to make it easier to read. While it's new and
still learning, it may not be perfect - your
feedback is welcome!
Description
Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature.
A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self-study.
Standard probability theory and ordinary calculus are the prerequisites.
Summary slides for revision and teaching can be found on the book website.
Book Details
INFORMATION
ISBN: 9780470021705
Publisher: John Wiley & Sons Inc
Format: Paperback / softback
Date Published: 15 April 2008
Country: United States
Imprint: John Wiley & Sons Inc
Audience: Professional and scholarly
DIMENSIONS
Spine width: 20.0mm
Width: 153.0mm
Height: 227.0mm
Weight: 510g
Pages: 336
About the Author
UBBO WIERSEMA was educated in Applied Mathematics at Delft, in Operations Research at Berkeley, and in Financial Economics and Financial Mathematics at the London School of Economics. He joined The Business School for Financial Markets (the ICMA Centre) at the University of Reading, UK, in 1997, to develop and teach its curriculum in Quantitative Finance. Prior to that, he was a derivatives mathematician at the merchant bank Robert Fleming in the City of London. His earlier career was in Operations Research in the US and Europe.
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