株式会社極東書店トップ ＞ 商品一覧 ＞ Optional Processes : Theory and Applications.
商品詳細
Optional Processes : Theory and Applications.
・ISBN 978-1-138-33726-8 hard GB£ 145.99
￥46,249.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-0-429-44249-0
| 著者・編者 | Abdelghani, Mohamed / Melnikov, Alexander, |
|---|---|
| シリーズ | Chapman and Hall/CRC Financial Mathematics Series |
| 出版社 | (CRC Press, UK) |
| 出版年月 | 2020 |
| ページ数 | 392 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-12218＞ |
解説
It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications.
Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis.
This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance.
Features
- Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas
- Compiles almost all essential results on the calculus of optional processes in unusual probability spaces
- Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes
- Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc.