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.

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
Table of Contents:
  • 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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