Brownian Motion Calculus has 9 ratings and 1 review. Dmitri said: Okay, so not all of us are wizards in measure theory, which makes reading Oksendal and. Brownian Motion Calculus by Ubbo F. Wiersema, , available at Book Depository with free delivery worldwide. Library of Congress Cataloging-in-Publication DataWiersema, Ubbo F. Brownian motion calculus / Ubbo F Wiersema. p. cm. – (Wiley ﬁnance.
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Brownian Motion Calculus | General Finance & Investments | Subjects | Wiley
The author provides many examples with relevance for financial applications, and each chapter ends with a good choice of exercises. This book is not yet featured on Listopia. 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 aclculus the selected technical references.
It is intended as an accessible introduction to the technical literature.
Standard probability theory and ordinary calculus are the prerequisites. The final chapter discusses how computations can be made more convenient by a suitable choice of the so-called numeraire.
Chen Fook rated it it was amazing Dec 19, Ayesha Ali marked it as to-read Jan 13, Check out the top books of the year on our page Best Books of The sequence of chapters starts with a description of Brownian motion, the random process which serves as the basic ubbo of the irregular behaviour of financial quantities. Once all that is in place, two methodologies for option valuation are presented.
The book is unique in its concise and inspiring style. The book has the right blend of theory and practical applications allowing to develop a thorough understanding of the subject and to build a solid foundation for the future uubbo work.
Brownian Motion Calculus
Alex Ioannides rated it really liked it Apr 03, Brownian Motion Calculus Ubbo F. Computations with Brownian Motion. Computations with Brownian Motion.
The inclusion of fully worked out exercises makes the book attractive for self study. Notash marked it as to-read May 25, Fredrik Olsson czlculus it as to-read Mar 03, Tariqul Dipu rated it it was amazing Nov 23, It is intended as an accessible introduction to the technical literature.
Joseph Merkel added it Apr 09, The Best Books of Home Contact Us Help Free delivery worldwide. Peter marked it as to-read Dec 25, To see what your friends thought of this book, please sign up.
Brownian Motion Calculus – Ubbo F. Wiersema – Google Books
Students will love this book! We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book. Cymen Vig marked it as to-read May 04, Open Preview See a Problem? Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. Summary slides for revision and teaching can be found on the book website.
This is a very well-balanced and structured guided-tour through the subject, where every step is carefully motivated and explained. Brownian Motion Calculus Ubbo F.