文档介绍：INTRODUCTION TO
STOCHASTIC CALCULUS
WITH APPLICATIONS
SECOND EDITION
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Fima C Klebaner
Monash University, Australia
Imperial College Press
Published by
Imperial College Press
57 Shelton Street
Covent Garden
London WC2H 9HE
Distributed by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601
UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE
British Library Cataloguing-in-Publication Data
A catalogue record for this book is available from the British Library.
INTRODUCTION TO STOCHASTIC CALCULUS WITH APPLICATIONS
(Second Edition)
Copyright © 2005 by Imperial College Press
All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means,
electronic or mechanical, including photocopying, recording or any information storage and retrieval
system now known or to be invented, without written permission from the Publisher.
For photocopying of material in this volume, please pay a copying fee through the Copyright
Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to
photocopy is not required from the publisher.
ISBN 1-86094-555-4
ISBN 1-86094-566-X (pbk)
Printed in Singapore.
Preface
Preface to the Second Edition
The second edition is revised, expanded and enhanced. This is now a more
complete text in Stochastic Calculus, from both a theoretical and an appli-
cations point of view. Changes came about, as a result of using this book
for teaching courses in Stochastic Calculus and Financial Mathematics over a
number of years. Many topics are expanded with more worked out examples
and exercises. Solutions to selected exercises are included. A new chapter
on bonds and interest rates contains derivations of the main pricing mod-
els, including currently used market models (BGM). The change of numeraire
technique is demonstrated on