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Change of Time and Change of Measure: Applications in Cancer-Related Research de OLE E BARNDORFF-NIELSEN

Change of Time and Change of Measure: Applications in Cancer-Related Research: Advanced Series on Statistical Science and Applied Probability, cartea 13

Autor OLE E BARNDORFF-NIELSEN, ALBERT N SHIRYAEV
en Limba Engleză Hardback – 3 noi 2010
Provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. This book is suitable for graduate-level courses and students, as well as for researchers and practitioners in financial mathematics and econometrics.
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Specificații

ISBN-13: 9789814324472
ISBN-10: 9814324477
Pagini: 305
Dimensiuni: 155 x 229 x 23 mm
Greutate: 0.6 kg
Editura: World Scientific Publishing Company
Seria Advanced Series on Statistical Science and Applied Probability

Cuprins

Random Change of Time; Integral Representations and Change of Time in Stochastic Integrals; Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis; Stochastic Exponential and Stochastic Logarithm. Cumulant Processes; Processes with Independent Increments. Levy Processes; Change of Measure. General Facts; Change of Measure in Models Based on Levy Processes; Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes; Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case; Martingale Measures in the Stochastic Theory of Arbitrage; Change of Measure in Option Pricing; Conditionally Brownian and Levy Processes. Stochastic Volatility Models.