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Lévy Processes and Stochastic Calculus
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For the first time in a book, Applebaum ties Lévy processes and stochastic calculus together. 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.
Cambridge University Press; July 2004
410 pages; ISBN 9780511207617
Read online, or download in secure PDF format
410 pages; ISBN 9780511207617
Read online, or download in secure PDF format
Subject categories
- Academic > Mathematics > Probabilities. Mathematical statistics > Stochastic processes
- Academic > Mathematics > Probabilities. Mathematical statistics > Markov processes
- Academic > Mathematics > Probabilities. Mathematical statistics > Random walks (Mathematics)
- Academic > Mathematics > General
- Mathematics > Calculus
ISBNs
0511207611
9780511207617
9780521832632