| Taylor & Francis

0원  | 20250523  | 9781466566415

This text focuses on the parts of stochastic theory that are particularly relevant to applications. It begins with a description of Brownian motion and the associated stochastic calculus, including the relationship to partial differential equations. It then solves stochastic differential equations by a variety of methods. The author also studies in detail the one-dimensional case. The book concludes with a treatment of semigroups and generators, applying the theory of Harris chains to diffusions as well as weak convergence of Markov chains to diffusions.

Wiley  | Wiley

46,500원  | 20141229  | 9781119965831

Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance.

 | Taylor & Francis

0원  | 20250523  | 9781466570801

This text balances accessibility and rigor in teaching stochastic calculus to advanced undergraduate and graduate students in mathematics, economics, and finance. Avoiding the measure-theoretic formalism, the author presents the material in a natural order and keeps technical ideas to a minimum. Any technical material is covered in sections that are separate from the main text. Students are encouraged to write computer programs using C++, MATLAB®, or Mathematica®.

 | Springer Nature B.V.

73,480원  | 20221116  | 9783031094477

The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors.

 | American Mathematical Society

158,300원  | 20220228  | 9781470464882

A complete guide for advanced undergraduate students to take the next step in exploring probability theory and for master's students in mathematical finance who would like to build an intuitive and theoretical understanding of stochastic processes.

 | Springer Nature B.V.

73,480원  | 20130808  | 9783319009377

Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books, some new classes have recently emerged in the scientific literature.

Capinski, Marek  | Cambridge University Press

154,350원  | 20140407  | 9781107002647

This brief but full introduction to basic stochastic processes contains key results that have become essential for finance practitioners and provides a solid grounding for understanding the Black-Scholes option pricing model. Students, practitioners and researchers will benefit from the authors' rigorous, but unfussy, approach to technical issues.

Marek Capinski  | Cambridge University Press

91,870원  | 20121127  | 9780521175739

This brief but full introduction to basic stochastic processes contains key results that have become essential for finance practitioners and provides a solid grounding for understanding the Black-Scholes option pricing model. Students, practitioners and researchers will benefit from the authors' rigorous, but unfussy, approach to technical issues.

 | Springer Nature B.V.

73,480원  | 20151119  | 9781493928682

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance.

 | Springer Verlag

115,740원  | 20180507  | 9783319770376

This book gives a somewhat unconventional introduction to stochastic analysis.

David Applebaum  | Cambridge University Press

207,630원  | 20210101  | 9780521738651

A unique development of these two subjects contained in a single volume. New topics featured in this fully revised edition include regular variation and subexponential distributions, characterisation of Levy processes with finite variation, multiple Wiener-Levy integrals and chaos decomposition, and introductions to Malliavin calculus and stability theory for Levy-driven SDEs.

 | Willford Pr

284,810원  | 20160526  | 9781682851968

Stochastic calculus has contributed majorly towards problem solving in fields such as engineering, quantitative finance, etc. This book attempts to understand the multiple branches that fall under this discipline and how such concepts have practical applications. It comprises of research from across the globe to keep the readers updated with the usage of stochastic equations in upcoming fields.

Shreve, Steven E.  | Springer

104,380원  | 20121102  | 9780387401010

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions.

Rajeeva L. Karandikar, B. V. Rao  | Springer

181,890원  | 20180615  | 9789811083174

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance.

Ishikawa, Yasushi  | de Gruyter

363,820원  | 20160401  | 9783110377767

An introduction to the stochastic calculus of variations for processes with jumps. Written for researchers and graduate students who are interested in Malliavin calculus for jump processes, it also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance.