Lévy processes and stochastic calculus /

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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.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Applebaum, David, 1956-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK : Cambridge University Press, 2004.
Colección:Cambridge studies in advanced mathematics ; 93.
Temas:
Lévy processes.
Stochastic analysis.
Lévy, Processus de.
Analyse stochastique.
MATHEMATICS > Probability & Statistics > General.
Lévy processes
Stochastic analysis
Stochastische analyse.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index.

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