Change Of Time And Change Of Measure
Regular price
€73.99
A01=Albert N Shiryaev
A01=Ole E Barndorff-nielsen
Author_Albert N Shiryaev
Author_Ole E Barndorff-nielsen
Category=KCH
Category=PBWL
Conditional Gaussianity
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Financial Mathematics and Econometrics
Levy Processes
Martingale Measures
Option Pricing
Semimartingales
Stochastic Analysis
Stochastic Exponential
Stochastic Logarithm
Stochastic Volatility
Theory of Arbitrage
Product details
- ISBN 9789814324472
- Publication Date: 09 Nov 2010
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
Secure
checkout
Fast Shipping
Easy returns
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.
