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Lvy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics)

David Applebaum

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ISBN 10: 0521832632 / ISBN 13: 9780521832632
Published by Cambridge University Press, 2004
Used Condition: Good
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Former Library book. Shows some signs of wear, and may have some markings on the inside. Bookseller Inventory # GRP92120144

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Bibliographic Details

Title: Lvy Processes and Stochastic Calculus (...

Publisher: Cambridge University Press

Publication Date: 2004

Book Condition:Good

Edition: 1 Edition.

About this title

Synopsis:

LÚvy 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 LÚvy processes, he accessibly develops the stochastic calculus for LÚvy processes. All the tools needed for the stochastic approach to option pricing, including It˘'s formula, Girsanov's theorem and the martingale representation theorem, are described.

Book Description:

LÚvy 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 LÚvy processes. The second part accessibly develops the stochastic calculus for LÚvy processes. All the tools needed for the stochastic approach to option pricing, including It˘'s formula, Girsanov's theorem and the martingale representation theorem are described.

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