Introduction to Stochastic Calculus / (Record no. 7423)

MARC details
000 -LEADER
fixed length control field 01748 a2200193 4500
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20251011165000.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 251011b |||||||| |||| 00| 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9789811083174
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 519.2
Item number KarI
100 ## - MAIN ENTRY--AUTHOR NAME
Personal name Rajeeva L. Karandikar,
245 ## - TITLE STATEMENT
Title Introduction to Stochastic Calculus /
Statement of responsibility, etc Rajeeva L. Karandikar, B. V. Rao
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Name of publisher Springer :
Place of publication Singapore ,
Year of publication ©2018.
300 ## - PHYSICAL DESCRIPTION
Number of Pages xiii, 441p.
440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE
Title Indian Statistical Institute Series :
520 ## - SUMMARY, ETC.
Summary, etc This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Calculus
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Rao, B. V.
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Books
Holdings
Withdrawn status Lost status Damaged status Collection code Home library Current library Shelving location Date acquired Source of acquisition Purchase Price Bill number Full call number Accession Number Print Price Bill Date/Price effective from Koha item type
      Mathematics Indian Institute of Technology Tirupati Indian Institute of Technology Tirupati General Stacks 07/10/2025 Shah Book House 7856.36 SBH/28599 519.2 KarI (12226) 12226 11223.37 07/10/2025 Books