A Course of Stochastic Analysis
Melnikov, Alexander
Sold by Biblios, Frankfurt am main, HESSE, Germany
AbeBooks Seller since 10 September 2024
New - Hardcover
Condition: New
Ships from Germany to U.S.A.
Quantity: 4 available
Add to basketSold by Biblios, Frankfurt am main, HESSE, Germany
AbeBooks Seller since 10 September 2024
Condition: New
Quantity: 4 available
Add to basketThis thoroughly updated second edition offers a unified, modern pathway from the Kolmogorov foundations of probability to the tools of stochastic calculus—and on to applications in finance, statistics, and risk. With clarity and breadth, it develops martingale and semimartingale theory alongside stochastic differential equations, keeping both discrete- and continuous-time viewpoints in play.
What’s new in the 2nd Edition
Designed for senior undergraduates, graduate students, and instructors, the book also serves researchers and practitioners who need a concise, example-driven route from measure-theoretic probability to the techniques used in finance, statistics, and risk modeling. Abundant worked examples and a comprehensive set of problems—with hints and solutions—make it ideal for self study or course adoption.
Alexander Melnikov is a professor at the University of Alberta working in stochastic analysis and its applications in finance, statistics, and insurance. He is the author of nine books and about one hundred fifty papers in leading academic journals and venues. He is a fellow of the Russian Academy of Natural Sciences, a recipient of the Leontiev medal of this academy and the McCalla Professorship of the University of Alberta. In addition to his academic engagements, he held several senior positions in business and professional organizations: chief-scientist at Risk-Invest Deutschland (Frankfurt), vice-president of the Russian Society of Actuaries, deputy director at the Center for Actuarial and Financial Studies (Moscow), and senior research consultant at the Model Capital Management (Boston).
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