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Stochastic Analysis with Financial Applications - Hong Kong 2009 (Paperback, 2011 ed.)
Loot Price: R2,970
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Stochastic Analysis with Financial Applications - Hong Kong 2009 (Paperback, 2011 ed.)
Series: Progress in Probability, 65
Expected to ship within 10 - 15 working days
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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.
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