Stochastic Processes and Financial Mathematics Rschendorf Ludger
The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. The basic construction of the stochastic integral and the associated martingale… Celý popis ↓
Porovnanie cien Stochastic Processes and Financial Mathematics Rschendorf Ludger
Popis Stochastic Processes and Financial Mathematics Rschendorf Ludger
Stochastic Processes and Financial Mathematics Rschendorf Ludger
The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. The basic construction of the stochastic integral and the associated martingale theory provide fundamental methods of the theory of stochastic processes for the construction of suitable stochastic models of financial mathematics, e.g. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered.Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models.
Central results of stochastic analysis such as the It formula, Girsanov's theorem and martingale representation theorems are of using stochastic differential equations.
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