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Brownian Motion Calculus (Englisch) Taschenbuch – 15. April 2008

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There are not many calculus books that are very accessible to students without a strong mathematical background and the large majority of financial derivatives students do not have a strong quantitative background. This book provides a short introduction to the subject with examples of its use in mathematical finance e.g pricing of derivatives. Wiersema assumes only a basic knowledge of calculus and probability and guides the student through the book with examples and exercises (complemented by the website/disk). Wiersema has been teaching the subject for many years and the book will be based on his tried and tested course notes.


"Wiersema has written a splendid book ... focusing on the core elements of the theory in a simplistic and operational manner. The reader is gently invited into the world of Ito integration and differentiation, where the material is carefully selected to highlight how the calculus functions rather than going into all theoretical details. The author provides many examples with relevance for financial applications, and each chapter ends with a good choice of exercises. The book is unique in its concise and inspiring style. This introduction to Brownian motion calculus is powerful, and highly recommended."
Professor Fred Espen Benth, Centre of Mathematics for Applications, Department of Mathematics, University of Oslo

"Stochastic calculus fundamentals are covered with a high level of clarity in a consistent step-by-step manner. The book has the right blend of theory and practical applications allowing to develop a thorough understanding of the subject and to build a solid foundation for the future hands-on work."
Michael Zaidel, Senior Analyst - Quantitative Analytics, Toronto Dominion Bank Financial Group

"The clear and open explanation of concepts combined with the many useful examples make this an invaluable reference both for students and professionals who need to gain an intuitive grasp and solid understanding of this vital subject. Wiersema's approachable style is sure to become a favourite amongst practitioners as it has amongst his students."
Andrew Scourse, structured finance professional in a global bank

"Ubbo's book is an extremely clearly written introduction to the important topic of applied stochastic calculus. In particular, it contains many illustrative worked-out examples and applications. This is a very well-balanced and structured guided-tour through the subject, where every step is carefully motivated and explained. Students will love this book!"
Thorsten Rheinlander, Reader, London School of Economics

In diesem Buch (Mehr dazu)
Ausgewählte Seiten ansehen
Buchdeckel | Copyright | Inhaltsverzeichnis | Auszug | Stichwortverzeichnis
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much needed missing link 13. Januar 2009
Von Louis Charbonneau - Veröffentlicht auf
Format: Taschenbuch
This is an awesome book!

It follows a non-rigorous (non measure-theoretic) approach to brownian motion/SDEs, similar in that respect to the traditional calculus textbook approach. The author provides plenty of intuition behind results, plenty of drills and generally solves problems without jumping any intermediate step.

I have read most books of the kind and this one is clearly the best. It is suitable for undergraduate education, namely in engineering and in finance. It may be a bit on the light side for maths undergrads, although could be used for a light intro to these topics.
11 von 11 Kunden fanden die folgende Rezension hilfreich
Excellent Introduction Without the Abstract Math Approach 16. Juli 2010
Von C T - Veröffentlicht auf
Format: Taschenbuch
This is really the best introduction book on the subject matter I have ever read. If you are not a current student in shool or newly graduate with math training, or a math teacher, but have some general college math training then this book is the best introduction for you on this subject. Although I had read some basic abstract math starting with the set theory long time ago, it took me too much time to proceed in reading standard intro math to financial engineering. Thanks to the author's introduction, when I come back to those FE math it feels SO easy now.
6 von 6 Kunden fanden die folgende Rezension hilfreich
A must have for stochastic calculus course 28. November 2010
Von Yanpeng Guo - Veröffentlicht auf
Format: Taschenbuch Verifizierter Kauf
I wish I had this book back in my school days. It is a must-have for college seniors or fresh graduate students who are interested in quantitative finance, as well as professionals on the street, like myself, who wants to review certain topics and concepts.

The book is an easy read, and it also has practice problems and solutions. This is the best part, typically stochastic calculus textbooks don't provide enough problems for us to solve, thus it is difficult to transform knowledge to skills. With practice problems, we always understand the topic better.

Read and do the practice problems in this book first, and it will prepare you well for the challenges ahead in quantitative finance.
6 von 6 Kunden fanden die folgende Rezension hilfreich
excellent introduction 2. Dezember 2010
Von rajan S. - Veröffentlicht auf
Format: Taschenbuch
i have some familiarity regarding brownian motion. Many stochastic calculus books go into deep mathematical reasoning. I really enjoyed the authors approach to the problem. This is clearly the way one should start into the subject prior to starting an MFE program. Then after reading the book, one can read the book by sean dineen etc or other stochastic calculus books which go into more rigorous detail. This book must not be missed by any chance. It will give you an edge in MFE programs knowing this material. He has written this book in the same style as many calculus books which is very helpful. Once you master this book, you can go into a move proof based subject matter.
6 von 7 Kunden fanden die folgende Rezension hilfreich
THE Introduction 22. Juli 2010
Von Mehmet Zengin - Veröffentlicht auf
Format: Taschenbuch Verifizierter Kauf
I read also Salih Neftci's book for stochastic calculus but this book is better. Mathematically it's more rigorous and very clear. It's an excellent introduction to stochastic calculus.
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