内容简介

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.

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豆瓣评论

  • 月球漫舞者
    从数学角度来看这本书是一星,给四星是因为能把这么深的数学写成一本那么简单的书,能够让那么多人读懂,也算够强大了。。。04-23
  • cheerzzh
    懂了的不用看 不懂的看了也挺迷茫。。11-05
  • Renco
    很好的书 可以用来梳理体系 11-02
  • 伍赟Allan
    写得还算清楚、简洁。不过貌似泊松过程只提了一下,做题的时候傻眼了...10-03
  • John-risktaker
    很好的入门自学教材,除去最后一章没有看,因为涉及金融学应用,我想等等换一本书再深入了解一下stochastic calculus 和SDE 之后再回过头来读最后一章。因为是elementary只是intuition和公式提出,没有给出更加连贯的演变过程和缺少习题练习,所以需要不断翻回前边找公式。05-14

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