Recent Advances in Stochastic Calculus, John S. Baras; Vincent Mirelli

Автор: Shreve, Steven E.
Название: Stochastic Calculus for Finance II
ISBN: 0387401016 ISBN-13(EAN): 9780387401010
Издательство: Springer
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Цена: 8384.00 р.
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Описание: "A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions.

Автор: Shreve
Название: Stochastic Calculus for Finance I
ISBN: 0387401008 ISBN-13(EAN): 9780387401003
Издательство: Springer
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Цена: 8384.00 р.
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Описание: Developed for the professional Master`s program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several yearsExercises conclude every chapter;

Автор: Klebaner Fima C
Название: Introduction to stochastic calculus with applications (second edition)
ISBN: 186094566X ISBN-13(EAN): 9781860945663
Издательство: World Scientific Publishing
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Цена: 6653.00 р.
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Описание: Presents a concise treatment of stochastic calculus and its applications. This book covers advanced applications, such as models in mathematical finance, biology and engineering. It is useful as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics.

Автор: Mishura, Yuliya
Название: Stochastic calculus for fractional brownian motion and related processes
ISBN: 3540758720 ISBN-13(EAN): 9783540758723
Издательство: Springer
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Цена: 7959.00 р.
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Автор: Daniel Alpay; Bernd Kirstein
Название: Recent Advances in Inverse Scattering, Schur Analysis and Stochastic Processes
ISBN: 3319376721 ISBN-13(EAN): 9783319376721
Издательство: Springer
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Цена: 13275.00 р.
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Описание: The volume is dedicated to Lev Sakhnovich, who made fundamental contributions in operator theory and related topics. Besides bibliographic material, it includes a number of selected papers related to Lev Sakhnovich`s research interests. The papers are related to operator identities, moment problems, random matrices and linear stochastic systems.

Автор: Karatzas
Название: Brownian Motion and Stochastic Calculus
ISBN: 0387976558 ISBN-13(EAN): 9780387976556
Издательство: Springer
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Цена: 6981.00 р.
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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: Mikosch, Thomas
Название: Elementary Stochastic Calculus, with Finance in View
ISBN: 9810235437 ISBN-13(EAN): 9789810235437
Издательство: World Scientific Publishing
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Цена: 7603.00 р.
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Описание: An elementary introduction to modelling with Ito integral or stochastic differential equations, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black-Scholes option pricing formula is derived.

Автор: Biagini, Francesca Hu, Yaozhong Oksendal, Bernt Zh
Название: Stochastic calculus for fractional brownian motion and applications
ISBN: 1852339969 ISBN-13(EAN): 9781852339968
Издательство: Springer
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Цена: 15372.00 р.
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Описание: Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This book presents an account of different definitions of stochastic integration for fBm, and to give applications of the resulting theory. It is suitable for students of mathematics, biology, and meteorology.

Автор: Francesca Biagini; Yaozhong Hu; Bernt ?ksendal; Tu
Название: Stochastic Calculus for Fractional Brownian Motion and Applications
ISBN: 1849969949 ISBN-13(EAN): 9781849969949
Издательство: Springer
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Цена: 11878.00 р.
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Описание: The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory.

Название: Financial Calculus
ISBN: 0521552893 ISBN-13(EAN): 9780521552899
Издательство: Cambridge Academ
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Цена: 12355.00 р.
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Описание: Here is a rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. An essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world.