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Levy Processes and Stochastic Calculus.

Applebaum, David.

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Levy Processes and Stochastic Calculus.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Levy Processes and Stochastic Calculus./
Author:	Applebaum, David.
other author:	Bollobas, B.
Published:	Cambridge :Cambridge University Press, : 2004.,
Description:	410 p.
[NT 15003449]:	Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Levy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index
Online resource:	http://dx.doi.org/10.1017/CBO9780511755323Click here to view book
ISBN:	9780511755323 (electronic bk.)

Levy Processes and Stochastic Calculus.
Applebaum, David.

Levy Processes and Stochastic Calculus.[electronic resource]. - Cambridge :Cambridge University Press,2004. - 410 p.

Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Levy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index

For the first time in a book, Applebaum ties Levy processes and stochastic calculus together. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem are described.

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511755323 (electronic bk.)Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: QA274.73 . / A67 2004

Dewey Class. No.: 519.2/2

Levy Processes and Stochastic Calculus.
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100 1 $a Applebaum, David. $3 1899098
245 1 0 $a Levy Processes and Stochastic Calculus. $h [electronic resource].
260 $a Cambridge : $b Cambridge University Press, $c 2004.
300 $a 410 p.
505 0 $a Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Levy processes; 2 Martingales, stopping times and random measures; 3 Markov processes, semigroups and generators; 4 Stochastic integration; 5 Exponential martingales, change of measure and financial applications; 6 Stochastic differential equations; References; Index of notation; Subject index
520 $a For the first time in a book, Applebaum ties Levy processes and stochastic calculus together. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem are described.
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
655 7 $a Electronic books. $2 lcsh $3 542853
700 1 $a Bollobas, B. $3 1897715
700 1 $a Fulton, W. $3 713901
700 1 $a Katok, A. $3 1897716
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700 1 $a Sarnak, P. $3 1897718
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700 1 $a Totaro, B. $3 1898636
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856 4 0 $z Click here to view book $u http://dx.doi.org/10.1017/CBO9780511755323