Stochastic Calculus for Quantitative Finance

Erscheinungsjahr 2015
ISBN: 978-1-78548-034-8
Verlag: ISTE Press Ltd - Elsevier Inc

Buch, Englisch, 208 Seiten, Format (B × H): 158 mm x 238 mm, Gewicht: 448 g

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school.

This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations.

Zielgruppe

Graduate students and professors worldwide working in all subdisciplines of economics and finance

Autoren/Hrsg.

Gushchin, Alexander A

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

1. General theory of stochastic processes2. Martingales and processes with finite variation3. Stochastic integrals