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Stochastic Analysis with Financial Applications - Hong Kong 2009 (Hardcover, 2011 ed.) Loot Price: R3,001
Discovery Miles 30 010
Stochastic Analysis with Financial Applications - Hong Kong 2009 (Hardcover, 2011 ed.): Arturo Kohatsu-Higa, Nicolas Privault,...

Stochastic Analysis with Financial Applications - Hong Kong 2009 (Hardcover, 2011 ed.)

Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu

Series: Progress in Probability, 65

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Loot Price R3,001 Discovery Miles 30 010 | Repayment Terms: R281 pm x 12*

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Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.

General

Imprint: Birkhauser Verlag AG
Country of origin: Switzerland
Series: Progress in Probability, 65
Release date: July 2011
First published: 2011
Editors: Arturo Kohatsu-Higa • Nicolas Privault • Shuenn-Jyi Sheu
Dimensions: 235 x 155 x 27mm (L x W x T)
Format: Hardcover
Pages: 430
Edition: 2011 ed.
ISBN-13: 978-3-03-480096-9
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Science & Mathematics > Mathematics > Applied mathematics > General
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LSN: 3-03-480096-7
Barcode: 9783034800969

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