Description
Levy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Levy processes, he accessibly develops the stochastic calculus for Levy processes. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem, are described.
Book Details
Format
Hardcover
Pages
408 pages
Language
English
Published
Jul 5, 2004
Publisher
Cambridge University Press
Editions
5 editions
ISBN-10
0521832632
ISBN-13
9780521832632
Genres
Science & Technology