However, stochastic calculus is based on a deep mathematical book is It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Thomas Mikosch. Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology. Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) has 27 ratings Thomas Mikosch.

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Khalid marked it as to-read Feb 21, Book ratings by Goodreads. There are no discussion topics on this book yet. Goodreads helps you keep track of books you want to read.

Elementary Stochastic Calculus, With Finance In View : Thomas Mikosch :

Review quote “This book under review can be determined as a very successful work Surbhi Miglani rated it really liked it Jan 30, Dennis Chiuten rated it liked it Jan 26, However, stochastic calculus is based on a deep mathematical theory. Thanks for telling us about the problem. Alexander marked it as to-read Nov 09, Wikimedia Italia added it Dec 31, Trivia About Elementary Stocha Steve rated it really liked it Aug 19, Benjamin Hermalin added it Aug 09, Table of contents Preliminaries – basic concepts from probability theory; stochastic processes; Brownian motion; conditional expectation; Martingales; the stochastic integral – the Riemann and Riemann-Stieltjes; integrals; the Ito integral; the Ito lemma; the Stratonovich and other integrals; stochastic differential equations – deterministic differential equations; Ito stochastic differential equations; the general linear differential equation; numerical solution; applications of stochastic calculus in finance – the Black-Scholes option-pricing formula; a useful technique – change of measure.


It’s a great introductory text for self-study to understand more complex texts and mikisch on financial mathematics. Pc added it Feb 15, Local Stereology Eva B. Product details Format Hardback pages Dimensions Jason is currently reading it Jan 18, No trivia or quizzes yet.

The math itself is interesting – expands and generalizes notions of integral calculus in particular. Refresh and try again.

Books by Thomas Mikosch. Just a moment while we sign you in to your Goodreads account. Ziran Yang marked it as to-read Elemenntary 02, Cwlenfest rated it it was amazing Jan 04, Visit our Beautiful Books page and find lovely books for kids, photography lovers and more.

Mikosch T. Elementary Stochastic Calculus With Finance in View [PDF] – Все для студента

Carlos rated it really liked it Nov 26, Raj marked it as to-read Nov 01, Jiang Stochatic added it Nov 27, Hedging Derivatives Thorsten Rheinlander. Derek is currently reading it Apr 14, The Best Books of Chris added it Jul 23, We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book.


This book provides a good and basic understanding of stochastic calculus without diving deep into pure tsochastic measure theory is almost completely avoided. Examples and applications are mostly related to finance, building up to the Black-Scholes equation in the last chapter.

Olof rated it liked it Jul elemengary, Check out the top books of the year on our page Best Books of Maciej Janiec is currently cslculus it Dec 21, Kevin Twomey rated it really liked it Jul 14, 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.

Apr 04, Ulviyya Ibrahimli rated it it was amazing Shelves: Applications are taken from stochastic finance. Gary Kennedy rated it it was amazing Jul 28, Tal marked it as mkiosch Jan 11, Nothing amazing in terms of exposition here but it’s clean, to the point, and moves right along.

Elementary Stochastic Calculus, With Finance In View

Justanothersherlockian marked it as to-read Mar 26, This book is suitable for the reader without a deep mathematical background. Applications are taken from stochastic finance.

Mikkel rated it liked it Aug 17,