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Lévy processes and stochastic calculus

Author: David Applebaum
Publisher: Cambridge ; New York : Cambridge University Press, ©2009.
Series: Cambridge studies in advanced mathematics, 116.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Summary:
Levy 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. In this text Applebaum ties the two subjects together.
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Named Person: Haim Levy
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: David Applebaum
ISBN: 9780521738651 0521738652
OCLC Number: 295002247
Description: xxx, 460 pages ; 23 cm.
Contents: Levy processes --
Martingales, stopping times and random measures --
Markov processes, semigroups and generators --
Stochastic integration --
Exponential martingales, change of measure and financial applications --
Stochastic differential equations.
Series Title: Cambridge studies in advanced mathematics, 116.
Responsibility: David Applebaum.
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Abstract:

A fully revised and appended edition of this unique volume, which develops together these two important subjects.  Read more...

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'The book introduces all the tools that are needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem.' Read more...

 
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