Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics)
Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics)
ISBN: 9780521832632
出版社: Cambridge University Press
出版年: 2004-07-05
页数: 408
定价: USD 80.00
装帧: Hardcover
内容简介
Lévy 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 Lévy processes, he accessibly develops the stochastic calculus for Lévy 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.