Stochastic Analysis, Stochastic Systems, and Applications to Finance
Tsoi, Allanus (EDT); Nualart, David (EDT); Yin, George (EDT)
ISBN 10: 9814355704 ISBN 13: 9789814355704
Published by World Scientific Publishing Company, 2011
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This book introduces some advanced topics in probability theories ― both pure and applied ― is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.
From the Back Cover: This book introduces some advanced topics in probability theories - both pure and applied. It is divided into two parts: the first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.
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Bibliographic Details
Title: Stochastic Analysis, Stochastic Systems, and...
Publisher: World Scientific Publishing Company
Publication Date: 2011
Binding: Hardcover
Condition: New