Stochastic Calculus with Infinitesimals

By Alice M. Turner, Herndon/Vehling Collection, James B. Herndon

Book Overview

1 Infinitesimal calculus, consistently and accessibly.- 2 Radically elementary probability theory.- 3 Radically elementary stochastic integrals.- 4 The radically elementary Girsanov theorem and the diffusion invariance principle.- 5 Excursion to nancial economics: A radically elementary approach to the fundamental theorems of asset pricing.- 6 Excursion to financial engineering: Volatility invariance in the Black-Scholes model.- 7 A radically elementary theory of It? diffusions and associated partial differential equations.- 8 Excursion to mathematical physics: A radically elementary definition of Feynman path integrals.- 9 A radically elementary theory of L?vy processes.- 10 Final remarks.

• Format: Paperback
• Language: English
• ISBN: 3642331483
• ISBN13: 9783642331480
• Release Date: November 2012
• Publisher: Springer
• Length: 112 Pages
• Weight: 0.44 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"