Opis
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.
Szczegóły książki
Format
Twarda okładka
Strony
408 stron
Język
Angielski
Opublikowany
lip 5, 2004
Wydawca
Cambridge University Press
Wydania
Wydania: 5
ISBN-10
0521832632
ISBN-13
9780521832632