Articoli correlati a Lévy Processes and Stochastic Calculus
Sinossi
Graduate text decsribing two of the main tools for modern mathematical finance.
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Recensione
'... the monograph closes the gap between classical textbooks on stochastic analysis where either Brownian motion or general semimartingales are considered. ... Besides standard results on existence and uniqueness of a solution and its Markov property, more advanced concepts are presented, such as representation of the solutions as Feller processes and as a stochastic flow.' Zentralblatt MATH
Descrizione del libro
For the first time in a book, Applebaum ties Lévy processes and stochastic calculus together. All the tools needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem are described.
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Compra usato
Condizioni: molto buono8vo (23.5 cm), XXIV, 384 pp. Hardcover...
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Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics, Series Number 93)
Editore:
Cambridge University Press, 2004
ISBN 10: 0521832632
ISBN 13: 9780521832632
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Rilegato
Da: Leopolis, Kraków, Polonia
Valutazione del venditore 5 su 5 stelle
Hardcover. Condizione: Very Good. 8vo (23.5 cm), XXIV, 384 pp. Hardcover (binding slightly rubbed at extremities). "Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Lévy processes, he accessibly develops the stochastic calculus for Lévy processes. All the tools needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem, are described." (from the blurb). Codice articolo 009037
Quantità: 1 disponibili
Foto dell'editore
Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics, Series Number 93)
Editore:
Cambridge University Press, 2004
ISBN 10: 0521832632
ISBN 13: 9780521832632
Antico o usato
Rilegato
Da: Sunshine State Books, Lithia, FL, U.S.A.
Valutazione del venditore 4 su 5 stelle
hardcover. Condizione: Good. Hardback--cover shows mild edge wear--spiner and pages excellent--no dust cover. Codice articolo TA240506078Z107
Quantità: 1 disponibili