Lévy processes and stochastic calculus /

Show other versions (2)

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.

Bibliographic Details
Call Number:Libro Electrónico
Main Author: Applebaum, David, 1956-
Format: Electronic eBook
Language:Inglés
Published: Cambridge, UK : Cambridge University Press, 2004.
Series:Cambridge studies in advanced mathematics ; 93.
Subjects:
Lévy processes.
Stochastic analysis.
Lévy, Processus de.
Analyse stochastique.
MATHEMATICS > Probability & Statistics > General.
Lévy processes
Stochastic analysis
Stochastische analyse.
Online Access:Texto completo

Internet

Texto completo

Items no disponibles

Holdings details from

Similar Items