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| Verfasst von: | Arguin, Louis-Pierre [VerfasserIn]  |
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| Titel: | A first course in stochastic calculus |
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| Verf.angabe: | Louis-Pierre Arguin |
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| Verlagsort: | Providence, Rhode Island |
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| Verlag: | American Mathematical Society |
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| E-Jahr: | 2022 |
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| Jahr: | [2022] |
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| Umfang: | 1 Online-Ressource (xv, 270 Seiten) |
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| Illustrationen: | Illustrationen |
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| Gesamttitel/Reihe: | Pure and applied undergraduate texts ; volume 53 |
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| Fussnoten: | Description based on publisher supplied metadata and other sources |
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| ISBN: | 978-1-4704-6778-4 |
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| Abstract: | A First Course in Stochastic Calculus is a complete guide for advanced undergraduate students to take the next step in exploring probability theory and for master's students in mathematical finance who would like to build an intuitive and theoretical understanding of stochastic processes. This book is also an essential tool for finance professionals who wish to sharpen their knowledge and intuition about stochastic calculus.Louis-Pierre Arguin offers an exceptionally clear introduction to Brownian motion and to random processes governed by the principles of stochastic calculus. The beauty and power of the subject are made accessible to readers with a basic knowledge of probability, linear algebra, and multivariable calculus. This is achieved by emphasizing numerical experiments using elementary Python coding to build intuition and adhering to a rigorous geometric point of view on the space of random variables. This unique approach is used to elucidate the properties of Gaussian processes, martingales, and diffusions. One of the book's highlights is a detailed and self-contained account of stochastic calculus applications to option pricing in finance.Louis-Pierre Arguin's masterly introduction to stochastic calculus seduces the reader with its quietly conversational style; even rigorous proofs seem natural and easy. Full of insights and intuition, reinforced with many examples, numerical projects, and exercises, this book by a prize-winning mathematician and great teacher fully lives up to the author's reputation. I give it my strongest possible recommendation.--Jim Gatheral, Baruch CollegeI happen to be of a different persuasion, about how stochastic processes should be taught to undergraduate and MA students. But I have long been thinking to go against my own grain at some point and try to teach the subject at this level--together with its |
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| URL: | Aggregator: https://ebookcentral.proquest.com/lib/kxp/detail.action?docID=6822195 |
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| Schlagwörter: | (s)Stochastische Analysis / (s)Martingal / (s)Stochastisches Integral / (s)Stochastische Differentialgleichung / (s)Brownsche Bewegung / (s)Finanzmathematik |
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| Datenträger: | Online-Ressource |
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| Sprache: | eng |
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| Bibliogr. Hinweis: | Erscheint auch als : Druck-Ausgabe |
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| | Erscheint auch als : Druck-Ausgabe: Arguin, Louis-Pierre, 1979 - : A first course in stochastic calculus. - Providence, Rhode Island : American Mathematical Society, 2022. - xv, 270 Seiten |
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| RVK-Notation: | SK 820 |
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| Sach-SW: | Electronic books |
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| K10plus-PPN: | 1782486569 |
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| Lokale URL UB: |  Zum Volltext |
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978-1-4704-6778-4
¬A¬ first course in stochastic calculus / Arguin, Louis-Pierre [VerfasserIn]; [2022] (Online-Ressource)
68869478
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