Optional processes: theory and applications
"It is well-known that modern stochastic calculus has been exhaustively developed under standard conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Pr...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton ; London ; New York
CRC Press, Taylor & Francis Group
[2020]
|
| Ausgabe: | First edition |
| Schriftenreihe: | Chapman & Hall/CRC Financial Mathematics Series
A Chapman & Hall book |
| Schlagworte: | |
| Zusammenfassung: | "It is well-known that modern stochastic calculus has been exhaustively developed under standard conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications is a book that seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism etc"-- |
| Beschreibung: | Literaturverzeichnis: Seite 367-376 |
| Beschreibung: | xiii, 378 Seiten |
| ISBN: | 9781138337268 |
Internformat
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| 100 | 1 | |a Abdelghani, Mohamed |0 (DE-588)1285900766 |4 aut | |
| 245 | 1 | 0 | |a Optional processes |b theory and applications |c Mohamed Abdelghani: Morgan Stanley, New York, USA ; Alexander Melnikov: University of Alberta |
| 250 | |a First edition | ||
| 264 | 1 | |a Boca Raton ; London ; New York |b CRC Press, Taylor & Francis Group |c [2020] | |
| 264 | 4 | |c © 2020 | |
| 300 | |a xiii, 378 Seiten | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Chapman & Hall/CRC Financial Mathematics Series | |
| 490 | 0 | |a A Chapman & Hall book | |
| 500 | |a Literaturverzeichnis: Seite 367-376 | ||
| 520 | 3 | |a "It is well-known that modern stochastic calculus has been exhaustively developed under standard conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications is a book that seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism etc"-- | |
| 650 | 0 | 7 | |a Stochastischer Prozess |0 (DE-588)4057630-9 |2 gnd |9 rswk-swf |
| 653 | 0 | |a Stochastic processes | |
| 653 | 0 | |a Stochastic analysis | |
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| 700 | 1 | |a Melʹnikov, Aleksandr V. |d 1953- |0 (DE-588)128679778 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe, ebk |z 978-0-429-44249-0 |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-032935451 | ||
Datensatz im Suchindex
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| author | Abdelghani, Mohamed Melʹnikov, Aleksandr V. 1953- |
| author_GND | (DE-588)1285900766 (DE-588)128679778 |
| author_facet | Abdelghani, Mohamed Melʹnikov, Aleksandr V. 1953- |
| author_role | aut aut |
| author_sort | Abdelghani, Mohamed |
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| building | Verbundindex |
| bvnumber | BV047559996 |
| callnumber-first | Q - Science |
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| callnumber-subject | QA - Mathematics |
| classification_rvk | SK 820 |
| ctrlnum | (OCoLC)1192373136 (DE-599)KXP1700276425 |
| dewey-full | 519.2/3 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2/3 |
| dewey-search | 519.2/3 |
| dewey-sort | 3519.2 13 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| discipline_str_mv | Mathematik |
| edition | First edition |
| format | Book |
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| id | DE-604.BV047559996 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T18:27:10Z |
| indexdate | 2024-07-10T09:14:40Z |
| institution | BVB |
| isbn | 9781138337268 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032935451 |
| oclc_num | 1192373136 |
| open_access_boolean | |
| owner | DE-634 DE-83 |
| owner_facet | DE-634 DE-83 |
| physical | xiii, 378 Seiten |
| publishDate | 2020 |
| publishDateSearch | 2020 |
| publishDateSort | 2020 |
| publisher | CRC Press, Taylor & Francis Group |
| record_format | marc |
| series2 | Chapman & Hall/CRC Financial Mathematics Series A Chapman & Hall book |
| spelling | Abdelghani, Mohamed (DE-588)1285900766 aut Optional processes theory and applications Mohamed Abdelghani: Morgan Stanley, New York, USA ; Alexander Melnikov: University of Alberta First edition Boca Raton ; London ; New York CRC Press, Taylor & Francis Group [2020] © 2020 xiii, 378 Seiten txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC Financial Mathematics Series A Chapman & Hall book Literaturverzeichnis: Seite 367-376 "It is well-known that modern stochastic calculus has been exhaustively developed under standard conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications is a book that seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism etc"-- Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Stochastic processes Stochastic analysis Calculus Stochastischer Prozess (DE-588)4057630-9 s DE-604 Melʹnikov, Aleksandr V. 1953- (DE-588)128679778 aut Erscheint auch als Online-Ausgabe, ebk 978-0-429-44249-0 |
| spellingShingle | Abdelghani, Mohamed Melʹnikov, Aleksandr V. 1953- Optional processes theory and applications Stochastischer Prozess (DE-588)4057630-9 gnd |
| subject_GND | (DE-588)4057630-9 |
| title | Optional processes theory and applications |
| title_auth | Optional processes theory and applications |
| title_exact_search | Optional processes theory and applications |
| title_exact_search_txtP | Optional processes theory and applications |
| title_full | Optional processes theory and applications Mohamed Abdelghani: Morgan Stanley, New York, USA ; Alexander Melnikov: University of Alberta |
| title_fullStr | Optional processes theory and applications Mohamed Abdelghani: Morgan Stanley, New York, USA ; Alexander Melnikov: University of Alberta |
| title_full_unstemmed | Optional processes theory and applications Mohamed Abdelghani: Morgan Stanley, New York, USA ; Alexander Melnikov: University of Alberta |
| title_short | Optional processes |
| title_sort | optional processes theory and applications |
| title_sub | theory and applications |
| topic | Stochastischer Prozess (DE-588)4057630-9 gnd |
| topic_facet | Stochastischer Prozess |
| work_keys_str_mv | AT abdelghanimohamed optionalprocessestheoryandapplications AT melʹnikovaleksandrv optionalprocessestheoryandapplications |