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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 |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, UK :
Cambridge University Press,
2004.
|
| Colección: | Cambridge studies in advanced mathematics ;
93. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
|---|---|
| Descripción Física: | 1 online resource (xxiv, 384 pages) |
| Bibliografía: | Includes bibliographical references (pages 360-374) and indexes. |
| ISBN: | 0511211198 9780511211195 0521832632 9780521832632 0511216564 9780511216565 0511212968 9780511212963 0511214774 9780511214776 9780511755323 0511755325 |