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2016-03-07
Stochastic Calculus of Variations: For Jump Processes - de Yasushi Ishikawa (Author)
Caractéristiques Stochastic Calculus of Variations: For Jump Processes
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| Le Titre Du Fichier | Stochastic Calculus of Variations: For Jump Processes |
| Date de Lancement | 2016-03-07 |
| Traducteur | Amarn Gus |
| Quantité de Pages | 864 Pages |
| Taille du fichier | 30.34 MB |
| Langue | Français & Anglais |
| Éditeur | J. Q. Preble |
| ISBN-10 | 7005224381-SPH |
| Format de eBook | EPub AMZ PDF AWW PDB |
| Créateur | Yasushi Ishikawa |
| Digital ISBN | 407-9621595679-UHZ |
| Nom de Fichier | Stochastic-Calculus-of-Variations-For-Jump-Processes.pdf |
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Talk given at Morgan Stanley and at the IITs to introduce students to stochastic calculus
Stochastic calculus of variations for jump processes Yasushi Ishikawa De Gruyter Libri Des milliers de livres avec la livraison chez vous en 1 jour ou en magasin avec 5 de réduction
This paper develops systematically stochastic calculus via regularization in the case of jump processes In particular one continues the analysis of realvalued càdlàg weak Dirichlet processes with respect to a given filtration Such a process is the sum of a local martingale and an adapted process A such that N A 0 for any continuous
This paper develops systematically stochastic calculus via regularization in the case of jump processes In particular one continues the analysis of realvalued càdlàg weak Dirichlet processes with respect to a given filtration Such a process is the sum of a local martingale and an adapted process A such that N A 0 for any continuous
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Topics covered in this book include jumpdiffusion models Lévy processes stochastic calculus for jump processes pricing and hedging in incomplete markets implied volatility smiles timeinhomogeneous jump processes and stochastic volatility models with jumps The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms