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Change Of Time And Change Of Measure
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Pages: 323
Authors: Ole E Barndorff-nielsen
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Type: BOOK - Published: 2010-11-04 - Publisher: World Scientific Publishing Company

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Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochast
Change of Time Methods in Quantitative Finance
Language: en
Pages: 140
Authors: Anatoliy Swishchuk
Categories: Mathematics
Type: BOOK - Published: 2016-05-31 - Publisher: Springer

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This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the t
Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus
Language: en
Pages: 498
Authors: L. C. G. Rogers
Categories: Mathematics
Type: BOOK - Published: 2000-09-07 - Publisher: Cambridge University Press

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This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of p
Introducing Time
Language: en
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Introduction To Stochastic Calculus With Applications (2nd Edition)
Language: en
Pages: 431
Authors: Fima C Klebaner
Categories: Mathematics
Type: BOOK - Published: 2005-06-20 - Publisher: World Scientific Publishing Company

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This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of