- Series: Cambridge Studies in Advanced Mathematics (Book 93)
- Hardcover: 408 pages
- Publisher: Cambridge University Press; 1 edition (July 5, 2004)
- Language: English
- ISBN-10: 0521832632
- ISBN-13: 978-0521832632
- Product Dimensions: 6 x 1 x 9 inches
- Shipping Weight: 1.5 pounds
- Amazon Best Sellers Rank: #5,839,988 in Books (See Top 100 in Books)
Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your mobile phone number.
Lévy Processes and Stochastic Calculus (Cambridge Studies in Advanced Mathematics) 1st Edition
Use the Amazon App to scan ISBNs and compare prices.
"I would recommend this book as a reference textbook for advanced courses like stochastic modeling or stochastic calculus in finance."
Alexander Novikov, University of Technology
Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. For the first time in a book, Applebaum ties the two subjects together. He begins with an introduction to the general theory of Lévy processes. The second part accessibly develops the stochastic calculus for Lévy processes. All the tools needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem are described.
If you are a seller for this product, would you like to suggest updates through seller support?