Elementary calculus of financial mathematics
Title:
Elementary calculus of financial mathematics
Author:
Roberts, A. J. (Anthony John), 1957-
ISBN:
9780898716672
Personal Author:
Publication Information:
Philadelphia : Society for Industrial and Applied Mathematics, c2009.
Physical Description:
xii, 128 p. : ill. (some col.) ; 26 cm.
Series:
Mathematical modeling and computation
Mathematical modeling and computation.
Contents:
Financial indices appear to be stochastic processes -- Ito's stochastic calculus introduced -- The Fokker-Planck equation describes the probability distribution -- Stochastic integration proves Ito's formula.
Abstract:
Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.
Electronic Access:
Publisher description http://www.loc.gov/catdir/enhancements/fy0906/2008042349-d.htmlTable of contents only http://www.loc.gov/catdir/enhancements/fy0906/2008042349-t.html
Contributor biographical information http://www.loc.gov/catdir/enhancements/fy0906/2008042349-b.html
Table of contents http://bvbr.bib-bvb.de:8991/F?func.service&doc_library.BVB01&doc_number.017040916&line_number.0001&func_code.DB_RECORDS&service_type.MEDIA