Product Description

Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This text should be suitable for the reader without a deep mathematical background. It seeks to provide an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived.

Product Details

• Amazon Sales Rank: #58044 in Books
• Published on: 1998-12-16
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 212 pages

Review
"This book under review can be determined as a very successful work ... the author's choice of the material is done with good taste and expertise ... It can be strongly recommended to graduate students and practitioners in the field of finance and economics." Mathematics Abstracts, 2000 "... this is a well-written book, which makes the difficult object of mathematical finance easy to understand also for non-mathematicians. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model." Statistical Papers, 2000

Customer Reviews

Very intuitive...yet packed with maths!
Building intuition in some maths topics can often feel like a difficult process at times so I'm glad to have stumbled across this book. As the title implies, compared to Neftci and Rennie/Baxter, this book covers less in terms of finance but focuses more on stochastic theory. It does this at a very intuitive level and yet manages to slip in a lot of (for me) advanced ideas. If you wish to begin to understand stochastic calculus, but find Oksendahls' so called introduction(!) way over your head, then I would strongly recomend this book.