Brownian Motion CalculusISBN: 978-0-470-02170-5
Paperback
328 pages
December 2008
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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Prof Nick Bingham, Sheffield I like what I have seen of this proposal. The book is written by an experienced teacher of a relevant masters course and this is one of its biggest strengths. The book is aimed at students who need to learn the tools quickly but don’t care about proof. Since proof is central to mathematics it limits the usefulness of the book for mathematics students but broadens the book’s accessibility for non-mathematics students.
Dr Alison Etheridge, Oxford University The proposed book stands out because of the use of Excel/VBA/Mathematica, there are many books that try to make stochastic calculus for financial application accessible to the less mathematically sophisticated audience, but not so many that actually leave the reader with any tools that they can use – this is where something like Excel can really be exploited. This text would serve as motivation for our Masters students who have a very applied approach to mathematics to persist with the more rigorous courses that we offer.
Dr Jean-Pierre Zigrand, LSE Although I really like Mikosch for the advanced MSC students there is a need for a more basic, short, intuitive treatment (Neftci is too thick and poorly organized to be useful for a course that only lasts one term). I would recommend it (subject to finished book!) as a methods book for my derivatives course (40 + students) and my Options, Futures and other Financial Derivatives summer school class (c. 60 students)