Elementary Calculus of Financial Mathematics
Buy a book... In Association with Amazon.co.uk
Author(s): A. J. Roberts
Publisher: SIAM
ISBN: 9780898716672
Format: softback
128pp
Price: $59.00
Review Date: 22 January 2009
Review: Modern financial mathematics relies on the theory of random processes in time, reflecting the erratic fluctuations of the financial markets. This book begins with a graphical/numerical introduction to how to adapt random walks to describe the erratic typical fluctuations. Simple numerical calculations are used to demonstrate the approach and suggest the symbology of stochastic calculus. Chapters include: Financial indices appear to be stochastic processes; Ito’s stochastic calculus introduced; The Fokker–Planck equation describes the probability distribution; and Stochastic integration proves Ito’s formula.