Stochastic calculus for finance:
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge [u.a.]
Cambridge Univ. Press
2012
|
| Edition: | 1. publ. |
| Series: | Mastering mathematical finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | VII, 177 S. |
| ISBN: | 9781107002647 9780521175739 |
Staff View
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| 245 | 1 | 0 | |a Stochastic calculus for finance |c Marek Capiński ; Ekkehard Kopp ; Janusz Traple |
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| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2012 | |
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| 490 | 0 | |a Mastering mathematical finance | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Finance / Mathematical models | |
| 650 | 4 | |a Stochastic processes | |
| 650 | 4 | |a Options (Finance) / Mathematical models | |
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Record in the Search Index
| _version_ | 1804149396060766208 |
|---|---|
| adam_text | Titel: Stochastic calculus for finance
Autor: Capiński, Marek
Jahr: 2012
Contents
Preface page vii
Discrete-time processes 1
1.1 General definitions 2
1.2 Martingales 6
1.3 The Doob decomposition 11
1.4 Stopping times 14
1.5 Doob s inequalities and martingale convergence 22
1.6 Markov processes 28
1.7 Proofs 34
Wiener process 36
2.1 Scaled random walk 36
2.2 Definition of the Wiener process 40
2.3 A construction of the Wiener process 41
2.4 Elementary properties 46
2.5 Stochastic processes: basic definitions 49
2.6 Properties of paths 51
2.7 Martingale properties 55
2.8 Doob s inequalities 59
2.9 Stopping times 61
2.10 Markov property 66
2.11 Proofs 71
Stochastic integrals 78
3.1 Motivation 78
3.2 Definition of the Ito integral 80
3.3 Properties 88
3.4 Ito processes 91
3.5 Proofs 99
ltd formula 109
4.1 A heuristic derivation 109
4.2 Functions of the Wiener process 112
4.3 Functions of Ito processes 117
4.4 Extension to general F 126
4.5 Localising stopping times 129
4.6 Extension of the stochastic integral 131
4.7 The Ito formula for general integrands 136
4.8 Local martingales 140
4.9 Applications of the Ito formula 144
4.10 Proofs 148
Stochastic differential equations 152
5.1 Examples 153
5.2 Existence and uniqueness of solutions 160
5.3 Markov property 169
5.4 Proofs 174
Index 176
|
| any_adam_object | 1 |
| author | Capiński, Marek 1951- Kopp, Peter E. 1944- Traple, Janusz |
| author_GND | (DE-588)172897866 (DE-588)120339889 |
| author_facet | Capiński, Marek 1951- Kopp, Peter E. 1944- Traple, Janusz |
| author_role | aut aut aut |
| author_sort | Capiński, Marek 1951- |
| author_variant | m c mc p e k pe pek j t jt |
| building | Verbundindex |
| bvnumber | BV040356721 |
| classification_rvk | QP 890 SK 850 SK 980 |
| ctrlnum | (OCoLC)812216148 (DE-599)BVBBV040356721 |
| dewey-full | 332.0151922 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0151922 |
| dewey-search | 332.0151922 |
| dewey-sort | 3332.0151922 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV040356721 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T00:22:21Z |
| institution | BVB |
| isbn | 9781107002647 9780521175739 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025210661 |
| oclc_num | 812216148 |
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| physical | VII, 177 S. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| series2 | Mastering mathematical finance |
| spelling | Capiński, Marek 1951- Verfasser (DE-588)172897866 aut Stochastic calculus for finance Marek Capiński ; Ekkehard Kopp ; Janusz Traple 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2012 VII, 177 S. txt rdacontent n rdamedia nc rdacarrier Mastering mathematical finance Includes bibliographical references and index Finance / Mathematical models Stochastic processes Options (Finance) / Mathematical models Mathematisches Modell Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Wiener-Prozess (DE-588)4189870-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Stochastisches Modell (DE-588)4057633-4 s Wiener-Prozess (DE-588)4189870-9 s b DE-604 Kopp, Peter E. 1944- Verfasser (DE-588)120339889 aut Traple, Janusz Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025210661&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Capiński, Marek 1951- Kopp, Peter E. 1944- Traple, Janusz Stochastic calculus for finance Finance / Mathematical models Stochastic processes Options (Finance) / Mathematical models Mathematisches Modell Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd Wiener-Prozess (DE-588)4189870-9 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4017195-4 (DE-588)4189870-9 |
| title | Stochastic calculus for finance |
| title_auth | Stochastic calculus for finance |
| title_exact_search | Stochastic calculus for finance |
| title_full | Stochastic calculus for finance Marek Capiński ; Ekkehard Kopp ; Janusz Traple |
| title_fullStr | Stochastic calculus for finance Marek Capiński ; Ekkehard Kopp ; Janusz Traple |
| title_full_unstemmed | Stochastic calculus for finance Marek Capiński ; Ekkehard Kopp ; Janusz Traple |
| title_short | Stochastic calculus for finance |
| title_sort | stochastic calculus for finance |
| topic | Finance / Mathematical models Stochastic processes Options (Finance) / Mathematical models Mathematisches Modell Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd Wiener-Prozess (DE-588)4189870-9 gnd |
| topic_facet | Finance / Mathematical models Stochastic processes Options (Finance) / Mathematical models Mathematisches Modell Stochastisches Modell Finanzmathematik Wiener-Prozess |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025210661&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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