Stochastic Calculus with Infinitesimals by Frederik S. Herzberg (PDF)

Description

1 Infinitesimal calculus, consistently and accessibly.- 2 Radically elementary probability theory.- 3 Radically elementary stochastic integrals.- 4 The radically elementary Girsanov theorem and the diffusion invariance principle.- 5 Excursion to nancial economics: A radically elementary approach to the fundamental theorems of asset pricing.- 6 Excursion to financial engineering: Volatility invariance in the Black-Scholes model.- 7 A radically elementary theory of Itô diffusions and associated partial differential equations.- 8 Excursion to mathematical physics: A radically elementary definition of Feynman path integrals.- 9 A radically elementary theory of Lévy processes.- 10 Final remarks.

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐The content of the book is quite interesting, namely devoloping stochastic analysis using Nelson’s IST.The presentation by Herzberg is rather good. The print quality of the book is very bad.

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