The Resource Continuous stochastic calculus with applications to finance, Michael Meyer

Continuous stochastic calculus with applications to finance, Michael Meyer

Label
Continuous stochastic calculus with applications to finance
Title
Continuous stochastic calculus with applications to finance
Statement of responsibility
Michael Meyer
Creator
Subject
Language
eng
Summary
"This text provides a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand the construction of the stochastic integral with respect to a general continuous semimartingale."--Jacket
Member of
Cataloging source
DLC
http://library.link/vocab/creatorName
Meyer, Michael
Index
index present
LC call number
HG173
LC item number
.M49 2001
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Finance
  • Stochastic analysis
  • Finances
  • Analyse stochastique
  • Finance
  • Stochastic analysis
  • Stochastische analyse
  • Financiering
  • Wiskundige modellen
  • Martingalen
  • Stochastische integratie
  • Finances
  • Analyse stochastique
  • Finanzmathematik
  • Stochastik
  • Wahrscheinlichkeitsrechnung
Label
Continuous stochastic calculus with applications to finance, Michael Meyer
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. 313) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • 4.
  • Convergence Theorems.
  • 5.
  • Optional Sampling of Closed Submartingale Sequences.
  • 6.
  • Maximal Inequalities for Submartingale Sequences.
  • 7.
  • Continuous Time Martingales.
  • 8.
  • Local Martingales.
  • Ch. 1.
  • 9.
  • Quadratic Variation.
  • 10.
  • The Covariation Process.
  • 11.
  • Semimartingales
  • Ch. II.
  • Brownian Motion.
  • 1.
  • Gaussian Processes.
  • Martingale Theory.
  • 2.
  • One Dimensional Brownian Motion
  • Ch. III.
  • Stochastic Integration.
  • 1.
  • Measurability Properties of Stochastic Processes.
  • 2.
  • Stochastic Integration with Respect to Continuous Semimartingales.
  • 3.
  • Ito's Formula.
  • 1.
  • 4.
  • Change of Measure.
  • 5.
  • Representation of Continuous Local Martingales.
  • 6.
  • Miscellaneous
  • Convergence of Random Variables.
  • 2.
  • Conditioning.
  • 3.
  • Submartingales.
Dimensions
24 cm.
Extent
xvi, 319 pages
Isbn
9781584882343
Lccn
00064361
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
System control number
  • (OCoLC)44927108
  • (OCoLC)ocm44927108
Label
Continuous stochastic calculus with applications to finance, Michael Meyer
Publication
Bibliography note
Includes bibliographical references (p. 313) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • 4.
  • Convergence Theorems.
  • 5.
  • Optional Sampling of Closed Submartingale Sequences.
  • 6.
  • Maximal Inequalities for Submartingale Sequences.
  • 7.
  • Continuous Time Martingales.
  • 8.
  • Local Martingales.
  • Ch. 1.
  • 9.
  • Quadratic Variation.
  • 10.
  • The Covariation Process.
  • 11.
  • Semimartingales
  • Ch. II.
  • Brownian Motion.
  • 1.
  • Gaussian Processes.
  • Martingale Theory.
  • 2.
  • One Dimensional Brownian Motion
  • Ch. III.
  • Stochastic Integration.
  • 1.
  • Measurability Properties of Stochastic Processes.
  • 2.
  • Stochastic Integration with Respect to Continuous Semimartingales.
  • 3.
  • Ito's Formula.
  • 1.
  • 4.
  • Change of Measure.
  • 5.
  • Representation of Continuous Local Martingales.
  • 6.
  • Miscellaneous
  • Convergence of Random Variables.
  • 2.
  • Conditioning.
  • 3.
  • Submartingales.
Dimensions
24 cm.
Extent
xvi, 319 pages
Isbn
9781584882343
Lccn
00064361
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
System control number
  • (OCoLC)44927108
  • (OCoLC)ocm44927108

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