Brownian Motion Calculus

By:

Ubbo F. Wiersema

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Paperback / softback

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Description

Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. 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 from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites. Summary slides for revision and teaching can be found on the book website.

Author Biography:

UBBO WIERSEMA was educated in Applied Mathematics at Delft, in Operations Research at Berkeley, and in Financial Economics and Financial Mathematics at the London School of Economics. He joined The Business School for Financial Markets (the ICMA Centre) at the University of Reading, UK, in 1997, to develop and teach its curriculum in Quantitative Finance. Prior to that, he was a derivatives mathematician at the merchant bank Robert Fleming in the City of London. His earlier career was in Operations Research in the US and Europe.

Release date NZ

April 15th, 2008

Author

Ubbo F. Wiersema

Audience

Professional & Vocational

Pages

336

Dimensions

153x227x20

ISBN-13

9780470021705

Product ID

2472390

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