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Continuous stochastic calculus with applications to finance

Continuous stochastic calculus with applications to finance (Loan 2 times)

Material type
단행본
Personal Author
Meyer, Michael (Michael J.)
Title Statement
Continuous stochastic calculus with applications to finance / Michael Meyer.
Publication, Distribution, etc
Boca Raton, FL :   Chapman Hall/CRC,   c2001.  
Physical Medium
xvi, 319 p. ; 24 cm.
Series Statement
Applied mathematics ;17
ISBN
1584882344 (alk. paper)
Bibliography, Etc. Note
Includes bibliographical references (p. 313) and index.
Subject Added Entry-Topical Term
Finance -- Mathematical models. Stochastic analysis.
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008 000823s2001 flu b 001 0 eng
010 ▼a 00064361
020 ▼a 1584882344 (alk. paper)
040 ▼a DLC ▼c DLC ▼d DLC ▼d 244002 ▼d 211009
049 0 ▼l 151124921
050 0 0 ▼a HG173 ▼b .M49 2001
082 0 0 ▼a 332/.01/5118 ▼2 22
084 ▼a 332.015118 ▼2 DDCK
090 ▼a 332.015118 ▼b M613c
100 1 ▼a Meyer, Michael ▼q (Michael J.)
245 1 0 ▼a Continuous stochastic calculus with applications to finance / ▼c Michael Meyer.
260 ▼a Boca Raton, FL : ▼b Chapman Hall/CRC, ▼c c2001.
300 ▼a xvi, 319 p. ; ▼c 24 cm.
490 1 ▼a Applied mathematics ; ▼v 17
504 ▼a Includes bibliographical references (p. 313) and index.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Stochastic analysis.
830 0 ▼a Applied mathematics ; ▼v 17.

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.015118 M613c Accession No. 111643953 Availability Available Due Date Make a Reservation Service B M
No. 2 Location Sejong Academic Information Center/Social Science/ Call Number 332.015118 M613c Accession No. 151124921 Availability Available Due Date Make a Reservation Service
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.015118 M613c Accession No. 111643953 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.015118 M613c Accession No. 151124921 Availability Available Due Date Make a Reservation Service

Contents information

Table of Contents

MARTINGALE THEORY
Covergence of Random Variables
Conditioning
Submartingales
Convergence Theorems
Optional Sampling of Closed Submartingale Sequences
Maximal Inequalities for Submartingale Sequences
Continuous Time Martingales
Local Martingales
Quadratic Variation
The Covariation Process
Semimartingales
BROWNIAN MOTION
Gaussian Process
One Dimensional Brownian Motion
STOCHASTIC INTEGRATION
Measurability Properties of Stochastic Processes
Stochastic Integration with Respect to Continuous Semimartingales
Ito's Formula
Change of Measure
Representation of Continuous Local Martingales
Miscellaneous
APPLICATION TO FINANCE
The Simple Black Scholes Market
Pricing of Contingent Claims
The General Market Model
Pricing of Random Payoffs at Fixed Future Dates
Interest Rate Derivatives
APPENDIX
Separation of Convex Sets
The Basic Extension Procedure
Positive Semidefinite Matrices
Kolmogoroff Existence Theorem


Information Provided By: : Aladin

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