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Lévy processes and stochastic calculus /
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.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, UK :
Cambridge University Press,
2004.
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| Colección: | Cambridge studies in advanced mathematics ;
93. |
| Temas: | |
| Acceso en línea: | Texto completo |