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In den WarenkorbHardcover. Zustand: Brand New. 456 pages. 9.25x6.10x1.18 inches. In Stock.
Zustand: New. Discusses quadratic variation of a square integrable martingale, pathwise formulae for the stochastic integral, Emery topology, and sigma-martingalesUses the technique of random time change to study the solution of a stochasti.
Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly addresses continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier-Pellaumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level students in the engineering and mathematics disciplines, the book is also an excellent reference resource for applied mathematicians and statisticians looking for a review of the topic.