Optional Processes : Theory and Applications

Mohamed Abdelghani

ISBN 10: 1138337269 / ISBN 13: 9781138337268

Published by Chapman And Hall/CRC, 2020

About this Item

nach der Bestellung gedruckt Neuware - Printed after ordering - This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties.

Seller Inventory # 9781138337268

Bibliographic Details

• Title: Optional Processes : Theory and Applications
• Publisher: Chapman And Hall/CRC
• Publication Date: 2020
• Language: English
• ISBN 10: 1138337269
• ISBN 13: 9781138337268
• Binding: Buch
• Condition: Neu
• Dimensions: 241W x 196H x 26D millimeters 241 millimeters width by 196 millimeters height by 26 millimeters depth
• Weight: 927 grams

About this title

Synopsis

It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications.

Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis.

This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance.

Features

• Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas

• Compiles almost all essential results on the calculus of optional processes in unusual probability spaces
• Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes
• Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc.

About the Author

Mohamed Abdelghani completed his PhD in Mathematical Finance from the University of Alberta. He is currently working as a V.P. in quantitative finance and machine learning at Morgan Stanley, New York, USA.

Alexander Melnikov is a Professor in Mathematical Finance at the University of Alberta, Edmonton, Canada. His research interests belong to the area of contemporary stochastic analysis and its numerous applications in Mathematical Finance, Statistics and Actuarial Science. He has written six books as well as over one hundred research papers in leading academic journals.