Brownian Ratchets, Cubero

Автор: Karatzas
Название: Brownian Motion and Stochastic Calculus
ISBN: 0387976558 ISBN-13(EAN): 9780387976556
Издательство: Springer
Рейтинг:
Цена: 6981.00 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

Автор: Harrison
Название: Brownian Models of Performance and Control
ISBN: 1107018390 ISBN-13(EAN): 9781107018396
Издательство: Cambridge Academ
Рейтинг:
Цена: 7286.00 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book from one of the field`s leaders covers Brownian motion and stochastic calculus at the graduate level, and illustrates the use of that theory in various application domains, emphasizing business and economics. Aimed at non-mathematicians who build and analyze stochastic models, it contains many concrete formulas and worked examples.

Автор: Yor Marc
Название: Exponential Functionals of Brownian Motion and Related Processes
ISBN: 3540659439 ISBN-13(EAN): 9783540659433
Издательство: Springer
Цена: 9776.00 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of LГ©vy processes are indicated. Some papers originally published in French are made available in English for the first time.

Автор: Wiersema
Название: Brownian Motion Calculus
ISBN: 0470021705 ISBN-13(EAN): 9780470021705
Издательство: Wiley
Рейтинг:
Цена: 5853.00 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: There are not many calculus books that are very accessible to students without a strong mathematical background and the large majority of financial derivatives students do not have a strong quantitative background. This book provides a short introduction to the subject with examples of its use in mathematical finance e. g pricing of derivatives.