Levy Processes and Stochastic Calculus
| Author/creator | Applebaum, David, 1956- Author |
| Format | Electronic |
| Publication Info | New York : Cambridge University Press |
| Description | 408 p. ill 23.600 x 016.000 cm. |
| Supplemental Content | Full text available from Ebook Central - Academic Complete |
| Subjects |
| Other author/creator | Bollobas, B. Contribution by |
| Other author/creator | Fulton, W. Contribution by |
| Other author/creator | Katok, A. Contribution by |
| Other author/creator | Kirwan, F. Contribution by |
| Other author/creator | Sarnak, P. Contribution by |
| Other author/creator | Simon, B. Contribution by |
| Series | Cambridge Studies in Advanced Mathematics Vol. 93 |
| Summary | Annotation 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. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Lévy processes, he 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. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2003063882 |
| ISBN | 9780521832632 |
| ISBN | 0521832632 (Trade Cloth) Out of Print |
| Standard identifier# | 9780521832632 |
| Stock number | 00004933 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |