Der Itô-Kalkül: Einführung und Anwendungen (Masterclass)
by Thomas Deck
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Der Itô-Kalkül
Dieses Buch behandelt stochastische Integrale bezüglich der Brownschen Bewegung (Itô-Integrale), den daraus resultierenden Itôschen Differentialkalkül und einige Anwendungen. Das Buch zeichnet sich durch zwei Besonderheiten aus: Zum Einen sind die mathematischen Voraussetzungen minimiert, und zum Anderen wird der Itô-Kalkül in einem ersten Schritt völlig ohne Martingale entwickelt. Dies erleichtert (insbesondere für Anwender) den Einstieg in die Theorie, da tiefer liegende stochastische Methoden zunächst nicht benötigt werden. Erst in einem zweiten Schritt werden die engen Beziehungen zur Martingaltheorie und zur Browschen Bewegung entwickelt (Darstellungssätze, Sätze von Lévy, Girsanov, etc.). Anwendungen auf stochastische Differentialgleichungen und Optionspreistheorie runden den Text ab.
The book, Der Itô-Kalkül: Einführung und Anwendungen (Masterclass) [Bulk, Wholesale, Quantity] ISBN#9783540253921 in Paperback by Thomas Deck may be ordered in bulk quantities. Minimum starts at 25 copies. Availability based on publisher status and quantity being ordered.
Details
- Publisher
- Springer Berlin Heidelberg
- Author
- Thomas Deck
- Format
- Paperback
- Published
- Sep 21, 2005
- ISBN-13
- 9783540253921
- Pages
- 248
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| Copies | Price per copy | You save |
|---|---|---|
| 25 – 49 | $30.79 | 12% off list |
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| 100+ | $30.09 | 14% off list |
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