R1,360.00
Title: Lévy Processes and Stochastic Calculus
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Lévy Processes and Stochastic Calculus
Author: David Applebaum
First name: David
Last name: Applebaum
Imprint: Cambridge University Press
Owner:Cambridge University Press
Edition: 1
E-ISBN: 9780511207617
Print ISBN: 9780521832632
For the first time in a book, Applebaum ties Lévy processes and stochastic calculus together. All the tools needed for the stochastic approach to option pricing, including Itô’s formula, Girsanov’s theorem and the martingale representation theorem are described.
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