9780367508517: Optional Processes
Couverture souple
ISBN 10 : 0367508516 ISBN 13 : 9780367508517
Editeur : Chapman and Hall/CRC, 2022

Synopsis

It is well-known that modern stochastic calculus has been exhaustively developed under usual 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 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.

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    Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

    À propos de l?auteur

    Mohamed Abdelghani completed his PhD in Mathematical Finance from the University of Alberta. He is currently working as a V.P. in quantitative finance and machine learning at Morgan Stanley, New York, USA.

    Alexander Melnikov is a Professor in Mathematical Finance at the University of Alberta, Edmonton, Canada. His research interests belong to the area of contemporary stochastic analysis and its numerous applications in Mathematical Finance, Statistics and Actuarial Science. He has written six books as well as over one hundred research papers in leading academic journals.

    Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

    Éditeur
    Chapman and Hall/CRC
    Date d'édition
    2022
    Langue
    anglais
    ISBN 10 
    0367508516
    ISBN 13 
    9780367508517
    Reliure
    Broché
    Nombre de pages
    378
    Coordonnées du fabricant
    non disponible
    Personne responsable
    gpsr@libri.de
    gpsr@libri.de

    Friedensallee 273
    Hamburg
    22763
    Allemagne

    Autres éditions populaires du même titre

    9781138337268: Optional Processes: Theory and Applications

    Edition présentée

    ISBN 10 :  1138337269 ISBN 13 :  9781138337268
    Editeur : CRC Press, 2020
    Couverture rigide