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612-822-4611
Stochastic Calculus & Itô Processes in Quantitative Finance: Pathwise Solutions, Malliavin Calculus, and High-Dimensional Applications

Stochastic Calculus & Itô Processes in Quantitative Finance: Pathwise Solutions, Malliavin Calculus, and High-Dimensional Applications

Paperback

Investing & FinanceCalculus

ISBN13: 9798199651936
Publisher: Independently Published
Published: Jun 2 2026
Pages: 492
Weight: 1.30
Height: 1.22 Width: 6.00 Depth: 9.00
Language: English
Reactive Publishing

This book provides a rigorous and modern treatment of stochastic calculus and Itô processes with a focus on quantitative finance applications. It emphasizes pathwise solutions, Malliavin calculus, and techniques for high-dimensional problems.

The text develops the core theory of stochastic integration and differential equations, then progresses to advanced topics including pathwise approaches to stochastic analysis, Malliavin's stochastic calculus of variations, and methods suitable for high-dimensional financial modeling. Particular attention is given to the mathematical foundations required for derivative pricing, risk management, and Monte Carlo methods in complex market environments.

Also from

Schwartz, Alice

Also in

Calculus