Cambridge Studies in Advanced Mathematics

Cambridge Studies in Advanced Mathematics

Taniguchi, Setsuo (Kyushu University, Japan); Matsumoto, Hiroyuki (Aoyama Gakuin University, Japan)

Cambridge University Press

11/2016

357

Dura

Inglês

9781107140516

15 a 20 dias

This compact, graduate-level text develops the Ito calculus and the Malliavin calculus in tandem, laying out a balanced toolbox for researchers and students in mathematics and mathematical finance, and taking readers from foundations to current, groundbreaking applications.
Preface; Frequently used notation; 1. Fundamentals of continuous stochastic processes; 2. Stochastic integrals and Ito's formula; 3. Brownian motion and Laplacian; 4. Stochastic differential equations; 5. Malliavin calculus; 6. Black-Scholes model; 7. Semiclassical limit; Appendix; References; Subject index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.