Levy Processes and Stochastic Calculus. [electronic resource]

• 作者： Applebaum, David.
• 其他作者：
  • Bollobas, B.
  • Fulton, W.
  • Katok, A.
  • Kirwan, F.
  • Sarnak, P.
  • Simon, B.
  • Totaro, B.
  • Ebooks Corporation.
• 出版： Cambridge : Cambridge University Press
• 主題： Electronic books.
• ISBN： 9780511207617 (electronic bk.) 、 9780521832632 (print)
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Levy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index
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• 摘要註: For the first time in a book, Applebaum ties Levy processes and stochastic calculus together. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem are described.
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