Continuous stochastic calculus with applications to finance. (©2001)

• Record Type: Book
• Further Information: Note: Michael Meyer.
• Other Names: Meyer, Michael (Michael J.)
• 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
• Publisher Details: Boca Raton, FL : Chapman & Hall/CRC
• Publication Date: 2001
• Copyright Date: 2001
• Extent: 1 online resource (xvi, 319 pages)
• Subjects: 332/.01/5118; Finance -- Mathematical models; Stochastic analysis; Finances -- Modèles mathématiques; Analyse stochastique; BUSINESS & ECONOMICS -- Finance; Finance -- Mathematical models; Stochastic analysis; Stochastische analyse; Financiering; Wiskundige modellen; Martingalen; Stochastische integratie; Electronic books
• Languages: English
• ISBNs: 1420035592; 9781420035599; 9781584882343; 1584882344
• Related ISBNs: 1584882344
• Notes: Note: Includes bibliographical references (page 313) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.