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Stochastic Calculus for Quantitative Finance (Hardcover)
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Stochastic Calculus for Quantitative Finance (Hardcover)
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In 1994 and 1998 F. Delbaen and W. Schachermayer published two
breakthrough papers where they proved continuous-time versions of
the Fundamental Theorem of Asset Pricing. This is one of the most
remarkable achievements in modern Mathematical Finance which led to
intensive investigations in many applications of the arbitrage
theory on a mathematically rigorous basis of stochastic calculus.
Mathematical Basis for Finance: Stochastic Calculus for Finance
provides detailed knowledge of all necessary attributes in
stochastic calculus that are required for applications of the
theory of stochastic integration in Mathematical Finance, in
particular, the arbitrage theory. The exposition follows the
traditions of the Strasbourg school. This book covers the general
theory of stochastic processes, local martingales and processes of
bounded variation, the theory of stochastic integration, definition
and properties of the stochastic exponential; a part of the theory
of Levy processes. Finally, the reader gets acquainted with some
facts concerning stochastic differential equations.
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