Stochastic Calculus for Quantitative Finance
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 appl...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
London : Kidlington, Oxford :
ISTE Press Ltd ; Elsevier Ltd
2015.
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| Colección: | Optimization in insurance and finance set.
Science Direct e-books. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b3505086x*spi |
| Sumario: | 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. |
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| Descripción Física: | 1 recurso electrónico |
| Formato: | Forma de acceso: World Wide Web. |
| Bibliografía: | Incluye referencias bibliográficas e índice. |
| ISBN: | 9780081004760 9781785480348 |
