Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics, Series Number 93)

Applebaum, David

ISBN 10: 0521832632 / ISBN 13: 9780521832632

Edité par Cambridge University Press, 2004

A propos de cet article

Hardback--cover shows mild edge wear--spiner and pages excellent--no dust cover.

N° de réf. du vendeur TA240506078Z107

Détails bibliographiques

• Titre: Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics, Series Number 93)
• Éditeur: Cambridge University Press
• Date de parution: 2004
• Langue: anglais
• ISBN à 10 chiffres: 0521832632
• ISBN à 13 chiffres: 9780521832632
• Reliure: hardcover
• État de l'article: Good

A propos de ce titre

Synopsis

Graduate text decsribing two of the main tools for modern mathematical finance.

Présentation de l'éditeur

Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part develops the stochastic calculus for Lévy processes in a direct and accessible way. En route, the reader is introduced to important concepts in modern probability theory, such as martingales, semimartingales, Markov and Feller processes, semigroups and generators, and the theory of Dirichlet forms. There is a careful development of stochastic integrals and stochastic differential equations driven by Lévy processes. The book introduces all the tools that are needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem.