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Introductory stochastic analysis for finance and insurance / / X. Sheldon Lin
| Introductory stochastic analysis for finance and insurance / / X. Sheldon Lin |
| Autore | Lin X. Sheldon |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (250 p.) |
| Disciplina | 332.01/51923 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Finance - Mathematical models
Insurance - Mathematical models Stochastic analysis |
| ISBN |
1-280-41150-3
9786610411504 0-470-36217-0 0-471-79321-3 0-471-79320-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introductory Stochastic Analysis for Finance and InsuranceIntroductory Stochastic Analysis for Finance and Insurance; CONTENTS; List of Figures; List of Tables; Preface; 1 Introduction; 2 Overview of Probability Theory; 2.1 Probability Spaces and Information Structures; 2.2 Random Variables, Moments and Transforms; LIST OF FIGURES; 2.1. The price of a stock over a two-day period.; 2.3 Multivariate Distributions; 2.4 Conditional Probability and Conditional Distributions; 2.2. The probability tree of the stock price over a two-day period.; 2.5 Conditional Expectation
2.3. The expectation tree of the stock price over a two-day period.2.6 The Central Limit Theorem; 3 Discrete-Time Stochastic Processes; 3.1 Stochastic Processes and Information Structures; 3.2 Random Walks; 3.1. The tree of a standard random walk.; 3.2. The binomial model of the stock price.; 3.3 Discrete-Time Markov Chains; 3.3. The binomial tree of the stock price.; 3.4 Martingales and Change of Probability Measure; 3.5 Stopping Times; 3.6 Option Pricing with Binomial Models; 3.4. The returns of a stock and a bond.; 3.5. The payoff function of a call.; 3.6. The payoff function of a put. 3.7. The payoff function of a strangle.3.7 Binomial Interest Rate Models; LIST OF TABLES; 3.1. A sample of quotes on U.S. Treasuries.; 3.8. Treasury yield curve, Treasury zero curve, and Treasury forward rate curve based on the quotes in Table 3.1.; 3.2. The market term structure.; 3.9. Constructing a short rate tree: step one.; 3.10. Constructing a short rate tree: step two.; 3.11. The complete short rate tree.; 4 Continuous-Time Stochastic Processes; 4.1 General Description of Continuous-Time Stochastic Processes; 4.2 Brownian Motion 4.1. A sample path of standard Brownian motion (μ = 0 and σ = 1).4.3 The Reflection Principle and Barrier Hitting Probabilities; 4.2. A sample path of Brownian motion with μ = 1 and σ = 1.; 4.3. A sample path of Brownian motion with μ = -1 and σ = 1.; 4.4. A sample path of Brownian motion with μ = 0 and σ = 2.; 4.5. A sample path of Brownian motion with μ = 0 and σ = 0.5.; 4.6. A path of standard Brownian motion reflected after hitting.; 4.7. A path of standard Brownian motion reflected before hitting.; 4.4 The Poisson Process and Compound Poisson Process 4.8. A sample path of a compound Poisson process.4.9. A sample path of the shifted Poisson process {Xτ(t)}.; 4.5 Martingales; 4.6 Stopping Times and the Optional Sampling Theorem; 5 Stochastic Calculus: Basic Topics; 5.1 Stochastic (Ito) Integration; 5.2 Stochastic Differential Equations; 5.3 One-Dimensional Ito's Lemma; 5.1. The product rules in stochastic calculus.; 5.4 Continuous-Time Interest Rate Models; 5.5 The Black-Scholes Model and Option Pricing Formula; 5.6 The Stochastic Version of Integration by Parts; 5.7 Exponential Martingales; 5.8 The Martingale Representation Theorem 6 Stochastic Calculus: Advanced Topics |
| Record Nr. | UNINA-9910878093803321 |
Lin X. Sheldon
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| Hoboken, N.J., : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy 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 |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910457662903321 |
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Applebaum David <1956->
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| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy 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 |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910784320403321 |
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Applebaum David <1956->
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||
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]]
| Lévy processes and stochastic calculus / / David Applebaum [[electronic resource]] |
| Autore | Applebaum David <1956-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxiv, 384 pages) : digital, PDF file(s) |
| Disciplina | 519.2/2 |
| Collana | Cambridge studies in advanced mathematics |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN |
1-107-14887-1
1-280-54040-0 9786610540402 0-511-21477-4 0-511-21656-4 0-511-21119-8 0-511-31534-1 0-511-75532-5 0-511-21296-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface; Overview; Notation; 1 Lévy 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 |
| Altri titoli varianti | Lévy Processes & Stochastic Calculus |
| Record Nr. | UNINA-9910828068103321 |
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Applebaum David <1956->
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| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lévy processes and stochastic calculus / David Applebaum
| Lévy processes and stochastic calculus / David Applebaum |
| Autore | Applebaum, David |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York : Cambridge University Press, 2009 |
| Descrizione fisica | xxx, 460 p. ; 23 cm |
| Disciplina | 519.22 |
| Collana | Cambridge studies in advanced mathematics ; 116 |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN | 9780521738651 |
| Classificazione |
AMS 60-02
LC QA274.73 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991003720139707536 |
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Applebaum, David
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| New York : Cambridge University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Lévy processes and stochastic calculus / David Applebaum
| Lévy processes and stochastic calculus / David Applebaum |
| Autore | Applebaum, David |
| Pubbl/distr/stampa | Cambridge : Cambridge University Press, 2004 |
| Descrizione fisica | xxiv, 384 p. ; 24 cm |
| Disciplina | 519.22 |
| Collana | Cambridge studies in advanced mathematics ; 93 |
| Soggetto topico |
Lévy processes
Stochastic analysis |
| ISBN | 0521832632 |
| Classificazione |
AMS 60-02
LC QA274.73.A67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000895469707536 |
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Applebaum, David
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| Cambridge : Cambridge University Press, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Malliavin calculus and stochastic analysis : a festschrift in honor of David Nualart / / edited by Frederi Viens, Jin Feng, Yaozhong Hu, Eulalia Nualart
| Malliavin calculus and stochastic analysis : a festschrift in honor of David Nualart / / edited by Frederi Viens, Jin Feng, Yaozhong Hu, Eulalia Nualart |
| Autore | Viens Frederi |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, : Springer, 2013 |
| Descrizione fisica | 1 online resource (579 p.) |
| Disciplina |
519.2
519.22 |
| Altri autori (Persone) |
FengJin
HuYaozhong NualartEulalia |
| Collana | Springer proceedings in mathematics & statistics |
| Soggetto topico |
Malliavin calculus
Stochastic analysis |
| ISBN |
1-299-33662-0
1-4614-5906-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | An Application of Gaussian Measures to Functional Analysis -- Stochastic Taylor Formulas and Riemannian Geometry -- Local invertibility of adapted shifts on Wiener Space and related topics -- Dilation vector field on Wiener space -- The calculus of differentials for the weak Stratonovich integral -- Large deviations for Hilbert space valued Wiener processes: a sequence space approach -- Stationary distributions for jump processes with inert drift -- An Ornstein-Uhlenbeck type process which satisfies sufficient conditions for a simulation based filtering procedure -- Escape probability for stochastic dynamical systems with jumps -- On Stochastic Navier-Stokes Equation Driven by Stationary White Noise -- Intermittency and chaos for a non-linear stochastic wave equation in dimension 1 -- Generalized stochastic heat equations -- Gaussian Upper Density estimates for spatially homogeneous Stochastic PDEs -- Stationarity of the solution for the semilinear stochastic integral equation on the whole real line -- A strong approximation of sub-fractional Brownian motion by means of transport processes -- Malliavin calculus for fractional heat equation -- Parameter estimation for alpha-fractional bridges -- Gradient bounds for solutions of stochastic differential equations driven by fractional Brownian motion -- Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations -- The effect of competition on the height and length of the forest of genealogical trees of a large population -- Linking progressive and initial filtration expansions -- A Malliavin calculus approach to general stochastic differential games with partial information -- Asymptotics for the Length of Longest Increasing Subsequences of Binary Markovian Words -- A short rate model using ambit processes -- Parametric regularity of the conditional expectations via the Malliavin calculus and applications. |
| Record Nr. | UNINA-9910437868803321 |
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Viens Frederi
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| New York, : Springer, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Markov processes / by E. B. Dynkin ; translated with the authorization and assistance of the author by J. Fabius ... [et al.]
| Markov processes / by E. B. Dynkin ; translated with the authorization and assistance of the author by J. Fabius ... [et al.] |
| Autore | Dynkin, Eugene Borisovich |
| Pubbl/distr/stampa | New York : Academic Press ; Berlin : Springer-Verlag, 1965 |
| Descrizione fisica | 2 v. ; 24 cm. |
| Disciplina | 519.233 |
| Collana |
Grundlehren der mathematischen Wissenschaften = A series of comprehensive studies in mathematics, 0072-7830 ; 121
Grundlehren der mathematischen Wissenschaften = A series of comprehensive studies in mathematics, 0072-7830 ; 122 |
| Soggetto topico |
Markov processes
Stochastic analysis |
| Classificazione |
AMS 60H
AMS 60J |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001102399707536 |
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Dynkin, Eugene Borisovich
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| New York : Academic Press ; Berlin : Springer-Verlag, 1965 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Markov processes and related problems of analysis / E. B. Dynkin
| Markov processes and related problems of analysis / E. B. Dynkin |
| Autore | Dynkin, Eugene Borisovich |
| Pubbl/distr/stampa | Cambridge : Cambridge University Press, 1982 |
| Descrizione fisica | 312 p. ; 23 cm |
| Disciplina | 519.233 |
| Collana | London Mathematical Society lecture note series, 0076-0552 ; 54 |
| Soggetto topico |
Markov processes
Reprintings of classics Stochastic analysis |
| ISBN | 0521285127 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001102259707536 |
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Dynkin, Eugene Borisovich
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| Cambridge : Cambridge University Press, 1982 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Mathematical analysis of random phenomena [[electronic resource] ] : proceedings of the international conference, Hammamet, Tunisia, 12-17 September 2005 / / editors, Ana Bela Cruzeiro, Habib Ouerdiane, Nobuaki Obata
| Mathematical analysis of random phenomena [[electronic resource] ] : proceedings of the international conference, Hammamet, Tunisia, 12-17 September 2005 / / editors, Ana Bela Cruzeiro, Habib Ouerdiane, Nobuaki Obata |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina | 519.2/2 |
| Altri autori (Persone) |
CruzeiroA. B <1957-> (Ana Bela Ferreira)
OuerdianeHabib ObataNobuaki <1957-> |
| Soggetto topico |
Stochastic analysis
Mathematical analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-12165-7
9786611121655 981-277-054-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface HBLENE AIRAULT; Contents; Geometry and integration by parts on H \ Diff(S') HBLENE AIRAULT, PAUL MALLIAVIN; Invariant measures for Ornstein-Uhlenbeck operators ABDULRAHMAN AL-HUSSEIN; Backward stochastic differential equations with respect to martingales WIDED AYED, NOBUAKI OBATA, HABIB OUERDIANE; Partial unitarity arising from quadratic quantum white noise SONIA CHAARI, SOUMAYA GHERYANI, HABIB OUERDIANE; Schilder's theorem for Gaussian white noise distributions F. CIPRIANO, H. OUERDIANE, J . L. SILVA, R. VILELA MENDES
A nonlinear stochastic equation of convolution type FERNANDA CIPRIANO, ANA BELA CRUZEIROVariational principle for diffusions on the diffeomorphism group with the H2 metric DIOGO AGUIAR GOMES; On a variational principle for the Navier-Stokes equation HANNO GOTTSCHALK, HABIB OUERDIANE, BOUBAKER SMII; Convolution calculus on white noise spaces and Feynman graph representation of generalized renormalization flows TAKEYUKI HIDA, SI SI; Characterizations of standard noises and applications YUH-JIA LEE, HSIN-HUNG SHIH; Analysis of stable white noise functionals PAUL LESCOT Unitarizing measures for a representation of the Virasoro algebra, according to Kirillov and Malliavin: state of the problem YUTAO MA, NICOLAS PRIVAULTFKG inequality on the Wiener space via predictable representation R. VILELA MENDES; Path-integral estimates of ground-state functionals GIULIA DI NUNNO, BERNT DKSENDAL; A representation theorem and a sensitivity result for functionals of jump diffusions WILHELM VON WALDENFELS; Creation and annihilation operators on locally compact spaces JEAN-CLAUDE ZAMBRINI; From the geometry of parabolic PDE to the geometry of SDE; List of participants |
| Record Nr. | UNINA-9910450690203321 |
| Hackensack, N.J., : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Stochastic analysis
(260)
- Stochastic processes (24)
- Finance - Mathematical models (16)
- Markov processes (14)
- Anàlisi estocàstica (11)