Change Of Time And Change Of Measure (Hardcover)

Change of Time and Change of Measure 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.Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance. It is invaluable as a textbook for graduate-level courses and students or a handy reference for researchers and practitioners in financial mathematics and econometrics.

General

Imprint:	World Scientific Publishing Co Pte Ltd
Country of origin:	Singapore
Series:	Advanced Series on Statistical Science & Applied Probability, 13
Release date:	November 2010
First published:	December 2010
Authors:	Ole E. Barndorff-Nielsen • Albert N. Shiryaev
Dimensions:	234 x 150 x 23mm (L x W x T)
Format:	Hardcover
Pages:	324
ISBN-13:	978-981-4324-47-2
Categories:	Books > Business & Economics > Economics > Econometrics > General Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Promotions
LSN:	981-4324-47-7
Barcode:	9789814324472

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