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Optional Processes - Theory and Applications (Paperback) Loot Price: R1,396
Discovery Miles 13 960
Optional Processes - Theory and Applications (Paperback): Mohamed Abdelghani, Alexander Melnikov

Optional Processes - Theory and Applications (Paperback)

Mohamed Abdelghani, Alexander Melnikov

Series: Chapman and Hall/CRC Financial Mathematics Series

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Loot Price R1,396 Discovery Miles 13 960 | Repayment Terms: R131 pm x 12*

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It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc.

General

Imprint: Crc Press
Country of origin: United Kingdom
Series: Chapman and Hall/CRC Financial Mathematics Series
Release date: April 2022
First published: 2021
Authors: Mohamed Abdelghani • Alexander Melnikov
Dimensions: 235 x 191mm (L x W)
Format: Paperback
Pages: 392
ISBN-13: 978-0-367-50851-7
Categories: Books > Business & Economics > Finance & accounting > General
Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Business & Economics > Economics > Econometrics > Economic statistics
Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > General
Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
LSN: 0-367-50851-6
Barcode: 9780367508517

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