Stochastic calculus for quantitative finance / Alexander A. Gushchin.

By:

Gushchin, Alexander A

Material type: Text

TextSeries: Optimization in insurance and finance setPublication details: London, UK : ISTE Press ; Kidlington, Oxford, UK : Elsevier, 2015.Description: xxi, 185p. ; 23cmContent type:

text

Media type:

unmediated

Carrier type:

volume

ISBN:

9781785480348 (hbk.)
1785480340 (hbk.)

Subject(s):

DDC classification:

519.236 GUS 22

LOC classification:

QA274 .G87 2015

Summary: This book provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. It covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Levy processes.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Book	Calcutta	519.236 GUS (Browse shelf(Opens below))	Available		IIMC-0145481

Total holds: 0

Includes bibliographical references and index.

This book provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. It covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Levy processes.

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