Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics) Book + PRICE WATCH * Amazon pricing is not included in price watch

Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics) Book

Lévy 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. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part accessibly develops the stochastic calculus for Lévy processes. All the tools needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem are described.Read More

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  • 0521832632
  • 9780521832632
  • David Applebaum
  • 5 July 2004
  • Cambridge University Press
  • Hardcover (Book)
  • 408
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