Brownian Motion Calculus

Name: Brownian Motion Calculus
Brand: Unknown
SKU: 9780470021705
Price: 87.99 NZD
Availability: InStock

By Ubbo F. Wiersema

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Summary

Brownian Motion Calculus by Ubbo F. Wiersema is an insightful exploration into the mathematical theory and applications of Brownian motion, particularly in the context of finance. It offers a comprehensive introduction to stochastic processes, with a focus on practical financial models and solutions involving calculus. The book serves as an essential guide for those interested in the quantitative aspects of finance and the mathematical intricacies underpinning it.
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Format: Paperback / softback

$87⁹⁹

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Brownian Motion Calculus

$87⁹⁹

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?

You might enjoy this book if you're interested in delving into the intricate world of stochastic processes and are keen on understanding the mathematical fundamentals of Brownian motion, particularly its application in scientific and financial contexts. This book could appeal to those who appreciate a mix of theoretical insights and practical problem-solving techniques in calculus and probability theory.

There 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.

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

Collections

Education & Reference Non-Fiction Science & Nature Ubbo F. Wiersema

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.