Optional processes : theory and applications /
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:...
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| Format: | eBook |
| Language: | English |
| Published: |
Boca Raton, FL :
CRC Press, Taylor and Francis Group,
2020.
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| Edition: | First edition. |
| Series: | Chapman & Hall/CRC financial mathematics series
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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 Applicationsseeks 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, et cetera Authors Mohamed Abdelghani completed his PhD in mathematical finance from the University of Alberta, Edmonton, Canada. He is currently working as a vice president in quantitative finance and machine learning at Morgan Stanley, New York, USA. Alexander Melnikov is a professor in mathematical finance at the University of Alberta. His research interests belong to the area of contemporary stochastic analysis and its numerous applications in mathematical finance, statistics and actuarial science. He has written six books as well as over 100 research papers in leading academic journals. |
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| Item Description: | "A Chapman & Hall Book"-- title page. |
| Physical Description: | 1 online resource (xiv, 378 pages). |
| ISBN: | 9780429442490 0429442491 9780429809231 0429809239 9780429809255 0429809255 9780429809248 0429809247 |