Stochastic Calculus for Quantitative Finance:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London
ISTE Press Ltd
2015
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| Schriftenreihe: | Optimization in insurance and finance set
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references and index In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9780081004760 0081004761 9781785480348 1785480340 |
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| 500 | |a In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations | ||
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| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
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| isbn | 9780081004760 0081004761 9781785480348 1785480340 |
| language | English |
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| spelling | Gushchin, Alexander A. Verfasser aut Stochastic Calculus for Quantitative Finance Alexander A. Gushchin London ISTE Press Ltd 2015 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Optimization in insurance and finance set Includes bibliographical references and index In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations MATHEMATICS / Applied bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Finance / Mathematical models fast Stochastic processes fast Mathematisches Modell Stochastic processes Finance Mathematical models http://www.sciencedirect.com/science/book/9781785480348 Verlag Volltext |
| spellingShingle | Gushchin, Alexander A. Stochastic Calculus for Quantitative Finance MATHEMATICS / Applied bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Finance / Mathematical models fast Stochastic processes fast Mathematisches Modell Stochastic processes Finance Mathematical models |
| title | Stochastic Calculus for Quantitative Finance |
| title_auth | Stochastic Calculus for Quantitative Finance |
| title_exact_search | Stochastic Calculus for Quantitative Finance |
| title_full | Stochastic Calculus for Quantitative Finance Alexander A. Gushchin |
| title_fullStr | Stochastic Calculus for Quantitative Finance Alexander A. Gushchin |
| title_full_unstemmed | Stochastic Calculus for Quantitative Finance Alexander A. Gushchin |
| title_short | Stochastic Calculus for Quantitative Finance |
| title_sort | stochastic calculus for quantitative finance |
| topic | MATHEMATICS / Applied bisacsh MATHEMATICS / Probability & Statistics / General bisacsh Finance / Mathematical models fast Stochastic processes fast Mathematisches Modell Stochastic processes Finance Mathematical models |
| topic_facet | MATHEMATICS / Applied MATHEMATICS / Probability & Statistics / General Finance / Mathematical models Stochastic processes Mathematisches Modell Finance Mathematical models |
| url | http://www.sciencedirect.com/science/book/9781785480348 |
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