Abstract
This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.
| Original language | English |
|---|---|
| Place of Publication | London UK |
| Publisher | Imperial College Press |
| Number of pages | 438 |
| Edition | 3rd |
| ISBN (Electronic) | 9781848168336 |
| ISBN (Print) | 9781848168312 |
| DOIs | |
| Publication status | Published - 2012 |