Elementary Stochastic Calculus With Finance in View
Author: Thomas Mikosch
List Price: $39.00
Our Price: Click to see the latest and low price
ISBN: 9810235437
Publisher: World Scientific Pub Co (January, 1999)
Sales Rank: 39,622
Average Customer Rating: 4.25 out of 5
Customer Reviews
Rating: 5 out of 5
Perfect bridge to higher financial math
Not having a strong theoretical mathematics background hindered my ability to read advanced stochastic finance. I found most "introduction to financial mathematics" for derivatives either too elementary or too advanced (i.e. unreadable). Mikosch has done an outstanding job of explaining key concepts of stochastic calculus, without losing a mathematically unsophisticated reader. After reading this book, one should feel comfortable reading more advanced texts on derivatives, which are usally full of mathematical jargon. I think, it's more suitable for readers with economics or engineering backgrounds who want to further explore the world of financial derivatives. If you have strong background in Analysis and Measure Theory, you might find this book too slow and not detailed enough (but then you are not the intended audience). Also, the book in itself is just an entry point into stochastic calculus and you'll need more advanced/theoretical texts on derivatives after. In my opinion, the book is not suitable for people who just want preliminary knowledge of derivatives; they should look for broader finance books, which usually have a few chapters on derivatives.
Rating: 5 out of 5
Excellent first introduction
This is the most readable, and technical, introduction to stochastic calculus that I'm aware of. It doesn't really matter that finance is far from you. You can learn all the finance that you want, at an equally pedagogical level from Bjork's book, to give an example, as soon as you finish this. The only thing I miss in this book are equally pedagogical exercises + worked solutions. I hope that the next edition will be twice as large.
Rating: 3 out of 5
pedagogically exemplary but finance is far from view
This book might just be the first ideal reading that students having to struggle with more advanced texts should do. The level is truly elementary and can be understood with the minimal 1-year college background, which is quite a feat compared with other books with similar claims. Examples are abundant and complement the pedagogically brilliant exposition by making everything intuititive. The style and level is reminiscent of Sheldon Ross' classics in probability and stochastic processes. However, even though advanced topics such as Paley-Wiener representation, Stratonovitch integral and numerical integration schemes are (alas too briefly) covered, the section about finance is disappointing and way too short. In summary an excellent book but look somewhere else for finance applications. And beg Prof. Mikosch for doubling the number of pages in the next edition... Similar Products
Financial Calculus : An Introduction to Derivative Pricing
Options, Futures, and Other Derivatives (5th Edition)
Introduction to the Mathematics of Financial Derivatives
Stochastic Calculus and Financial Applications
Book Index