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Levy Processes and Stochastic Calculus.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Levy Processes and Stochastic Calculus./
作者:	Applebaum, David.
其他作者:	Bollobas, B.
出版者:	Cambridge :Cambridge University Press, : 2004.,
面頁冊數:	410 p.
電子資源:	Click here to view book
ISBN:	9780511207617 (electronic bk.)

Levy Processes and Stochastic Calculus.
Applebaum, David.

Levy Processes and Stochastic Calculus.[electronic resource]. - Cambridge :Cambridge University Press,2004. - 410 p.

Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Levy 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

For the first time in a book, Applebaum ties Levy processes and stochastic calculus together. 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.

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511207617 (electronic bk.)Index Terms--Genre/Form:

554714
Electronic books.

LC Class. No.: QA274.73 . / A67 2004

Dewey Class. No.: 519.2/2

Levy Processes and Stochastic Calculus.
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520 $a For the first time in a book, Applebaum ties Levy processes and stochastic calculus together. 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.
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