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9780429442490 |
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| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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200615s2020 flu ob 000 0 eng d |
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| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780429442490 |
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(electronic bk.) |
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| International Standard Book Number |
0429442491 |
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(electronic bk.) |
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| International Standard Book Number |
9780429809231 |
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(electronic bk. : Mobipocket) |
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0429809239 |
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(electronic bk. : Mobipocket) |
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9780429809255 |
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(electronic bk. : PDF) |
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0429809255 |
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(electronic bk. : PDF) |
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9781138337268 |
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9780429809248 |
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(electronic bk. : EPUB) |
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0429809247 |
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(electronic bk. : EPUB) |
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9780367508517 |
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1138337269 |
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(OCoLC)1158313590 |
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(OCoLC)1157062564 |
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(OCoLC-P)1158313590 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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QA274 |
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| Classification number |
519.2/3 |
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23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Abdelghani, Mohamed, |
| 245 10 - TITLE STATEMENT |
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| Title |
Optional processes : |
| Remainder of title |
theory and applications / |
| Statement of responsibility, etc |
Mohamed Abdelghani, Alexander Melnikov. |
| 250 ## - EDITION STATEMENT |
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| Edition statement |
First edition. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource (xiv, 378 pages). |
| 500 ## - GENERAL NOTE |
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| General note |
"A Chapman & Hall Book"-- title page. |
| 505 0# - |
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| Formatted contents note |
1. Spaces, Laws and Limits. 2. Stochastic Processes. 3. Martingales. 4. Strong Supermartingales. 5. Optional Martingales. 6. Optional Supermartingales Decomposition. 7. Calculus of Optional Semimartingales. 8. Optional Stochastic Equations. 9. Optional Financial Markets. 10. Defaultable Markets on Unusual Space. 11. Filtering of Optional Semimartingales. Bibliography. Index. |
| 650 #0 - |
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| Topical term or geographic name as entry element |
Stochastic processes. |
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| Topical term or geographic name as entry element |
Stochastic analysis. |
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| Topical term or geographic name as entry element |
Calculus. |
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| Topical term or geographic name as entry element |
BUSINESS & ECONOMICS / Finance |
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| Topical term or geographic name as entry element |
MATHEMATICS / General |
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| Topical term or geographic name as entry element |
MATHEMATICS / Probability & Statistics / General |
| 700 1# - |
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| Personal name |
Melʹnikov, A. V., |
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author. |
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| Uniform Resource Identifier |
https://www.taylorfrancis.com/books/9780429442490 |
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| Uniform Resource Identifier |
http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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author. |
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Boca Raton, FL : |
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CRC Press, Taylor & Francis Group, |
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2020. |
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online resource |
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Chapman & Hall/CRC financial mathematics series |
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It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applicationsseeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc. Authors Mohamed Abdelghani completed his PhD in mathematical finance from the University of Alberta, Edmonton, Canada. He is currently working as a vice president in quantitative finance and machine learning at Morgan Stanley, New York, USA. Alexander Melnikov is a professor in mathematical finance at the University of Alberta. His research interests belong to the area of contemporary stochastic analysis and its numerous applications in mathematical finance, statistics and actuarial science. He has written six books as well as over 100 research papers in leading academic journals. |
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1953- |
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Taylor & Francis |
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OCLC metadata license agreement |
