Probability And Stochastic Processes

Emphasizing key theoretical concepts while incorporating real-world applications, Probability and Stochastic Processes presents a rigorous approach to probability and uses it as a foundation for understanding concepts and examples related to stochastic processes. Extensively classroom-tested, the material is both motivating and comprehensive. Engaging real-world applications and novel examples from business, mathematical finance, and engineering shed light on the topic's relevance in modern research. Topics of coverage are mathematically rigorous but also incorporate traditional applied concepts so that upper-undergraduate and graduate students can gain an intuitive sense of theory and its practice.

Ionut Florescu, PhD, is Research Associate Professor of Financial Engineering and Director of the Hanlon Financial Systems Lab at Stevens Institute of Technology. His areas of research interest include stochastic volatility, stochastic partial differential equations, Monte Carlo methods, and numerical methods for stochastic processes. He is also the coauthor of Handbook of Probability and coeditor of Handbook of Modeling High-Frequency Data in Finance, both published by Wiley.