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Brownian Motion Calculus Paperback - 2005 - 1st Edition
by Ubbo F. Wiersema
From the jacket flap
""Wiersema has written a splendid book ... focusing on the core elements of the theory in a simplistic and operational manner. The reader is gently invited into the world of Ito integration and differentiation, where the material is carefully selected to highlight how the calculus functions rather than going into all theoretical details. The author provides many examples with relevance for financial applications, and each chapter ends with a good choice of exercises. The book is unique in its concise and inspiring style. This introduction to Brownian motion calculus is powerful, and highly recommended.""
Professor Fred Espen Benth, Centre of Mathematics for Applications, Department of Mathematics, University of Oslo
""Stochastic calculus fundamentals are covered with a high level of clarity in a consistent step-by-step manner. 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 hands-on work.""
Michael Zaidel, Senior Analyst - Quantitative Analytics, Toronto Dominion Bank Financial Group
""The clear and open explanation of concepts combined with the many useful examples make this an invaluable reference both for students and professionals who need to gain an intuitive grasp and solid understanding of this vital subject. Wiersema's approachable style is sure to become a favourite amongst practitioners as it has amongst his students.""
Andrew Scourse, structured finance professional in a global bank
""Ubbo's book is an extremely clearly written introduction to the important topic of applied stochastic calculus. In particular, it contains manyillustrative worked-out examples and applications. This is a very well-balanced and structured guided-tour through the subject, where every step is carefully motivated and explained. Students will love this book!""
Thorsten Rheinlander, Reader, London School of Economics
Details
- Title Brownian Motion Calculus
- Author Ubbo F. Wiersema
- Binding Paperback
- Edition number 1st
- Edition 1
- Pages 336
- Volumes 1
- Language ENG
- Publisher Wiley, Chichester
- Date 2005-08-01
- Features Bibliography, Index, Table of Contents, Textbook
- ISBN 9780470021705 / 0470021705
- Weight 1.1 lbs (0.50 kg)
- Dimensions 8.9 x 5.9 x 0.8 in (22.61 x 14.99 x 2.03 cm)
- Library of Congress subjects Finance - Mathematical models, Brownian motion processes
- Library of Congress Catalog Number 2008007641
- Dewey Decimal Code 332.642
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