Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics, Series Number 93) - Hardcover

Applebaum, David

Hardcover

ISBN 10: 0521832632 ISBN 13: 9780521832632

Publisher: Cambridge University Press, 2004

Synopsis

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.

About this title

Book Description

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.

About the Author

David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2004
• Language: English
• ISBN 10: 0521832632
• ISBN 13: 9780521832632
• Binding: Hardcover
• Edition number: 1
• Number of pages: 408