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Levy Processes and Stochastic Calculus.

Applebaum, David.

Levy Processes and Stochastic Calculus.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Levy Processes and Stochastic Calculus.
Author:	Applebaum, David.
other author:	Bollobas, B.
Published:	Cambridge :Cambridge University Press,2004.
Description:	410 p.
Online resource:	Click here to view book
ISBN:	9780511755323 (electronic bk.)

Levy Processes and Stochastic Calculus.
Applebaum, David.

Levy Processes and Stochastic Calculus.[electronic resource]. - Cambridge :Cambridge University Press,2004. - 410 p.

Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Levy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index

For the first time in a book, Applebaum ties Levy processes and stochastic calculus together. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem are described.

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511755323 (electronic bk.)Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: QA274.73 . / A67 2004

Dewey Class. No.: 519.2/2

Levy Processes and Stochastic Calculus.
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020 $a 9780511755323 (electronic bk.)
020 $a 9780521832632 (print)
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035 $a EBL266425
040 $a AU-PeEL $c AU-PeEL $d AU-PeEL
050 0 0 $a QA274.73 . $b A67 2004
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100 1 $a Applebaum, David. $3 323850
245 1 0 $a Levy Processes and Stochastic Calculus. $h [electronic resource].
260 $a Cambridge : $b Cambridge University Press, $c 2004.
300 $a 410 p.
505 0 $a Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Levy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index
520 $a For the first time in a book, Applebaum ties Levy processes and stochastic calculus together. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem are described.
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
655 7 $a Electronic books. $2 local. $3 214472
700 1 $a Bollobas, B. $3 322184
700 1 $a Fulton, W. $3 322185
700 1 $a Katok, A. $3 322186
700 1 $a Kirwan, F. $3 322187
700 1 $a Sarnak, P. $3 322188
700 1 $a Simon, B. $3 322203
700 1 $a Totaro, B. $3 323104
710 2 $a Ebooks Corporation. $3 322111
776 1 $z 9780521832632
856 4 0 $z Click here to view book $u http://dx.doi.org/10.1017/CBO9780511755323