Brownian Motion Calculus |
 | Author: Ubbo F. Wiersema
Publisher: Wiley
List Price: $45.00
Buy New: $35.20
as of 11/20/2009 23:30 CST details
You Save: $9.80 (22%)
New (26) Used (12) from $35.20
Seller: a1books
Rating:  1 reviews
Sales Rank: 181409
Media: Paperback
Pages: 330
Number Of Items: 1
Shipping Weight (lbs): 1.1
Dimensions (in): 8.8 x 5.9 x 0.9
ISBN: 0470021705
Dewey Decimal Number: 332.642701519233
EAN: 9780470021705
ASIN: 0470021705
Publication Date: December 22, 2008
Availability: Usually ships in 1-2 business days
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Product 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.
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Customer Reviews:
much needed missing link January 13, 2009
Louis Charbonneau (Montreal)
3 out of 3 found this review helpful
This is an awesome book!
It follows a non-rigorous (non measure-theoretic) approach to brownian motion/SDEs, similar in that respect to the traditional calculus textbook approach. The author provides plenty of intuition behind results, plenty of drills and generally solves problems without jumping any intermediate step.
I have read most books of the kind and this one is clearly the best. It is suitable for undergraduate education, namely in engineering and in finance. It may be a bit on the light side for maths undergrads, although could be used for a light intro to these topics.
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