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Lévy Processes and Stochastic Calculus PDF

409 Pages·2004·1.963 MB·English
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by David Applebaum| 2004| 409 pages| 1.963| English

About Lévy Processes and Stochastic Calculus

L?vy 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 L?vy processes, he accessibly develops the stochastic calculus for L?vy 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.

Detailed Information

Author:David Applebaum
Publication Year:2004
ISBN:9780511216565
Pages:409
Language:English
File Size:1.963
Format:PDF
Price:FREE
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