Optional Processes: Theory and Applications (Chapman & Hall/CRC Financial Mathematics Series)

Mohamed Abdelghani, Alexander Melnikov

ISBN 10: 1138337269 / ISBN 13: 9781138337268

Editore: Chapman and Hall/CRC 2020-07-08, 2020

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Codice articolo 6666-TNFPD-9781138337268

Dati bibliografici

• Titolo: Optional Processes: Theory and Applications (Chapman & Hall/CRC Financial Mathematics Series)
• Editore: Chapman and Hall/CRC 2020-07-08
• Data di pubblicazione: 2020
• Lingua: Inglese
• ISBN 10: 1138337269
• ISBN 13: 9781138337268
• Rilegatura: Hardcover
• Condizione: New

Descrizione articolo

Riassunto

It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications.

Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis.

This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance.

Features

• Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas

• Compiles almost all essential results on the calculus of optional processes in unusual probability spaces
• Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes
• Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc.

Informazioni sull?autore

Mohamed Abdelghani completed his PhD in Mathematical Finance from the University of Alberta. He is currently working as a V.P. in quantitative finance and machine learning at Morgan Stanley, New York, USA.

Alexander Melnikov is a Professor in Mathematical Finance at the University of Alberta, Edmonton, Canada. His research interests belong to the area of contemporary stochastic analysis and its numerous applications in Mathematical Finance, Statistics and Actuarial Science. He has written six books as well as over one hundred research papers in leading academic journals.