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Stochastic analysis, stochastic systems, and applications to finance / edited by Allanus Tsoi, David Nualart, George Yin.

Contributor(s): Material type: TextTextPublication details: Singapore : World Scientific, ©2011.Description: 1 online resource (x, 261 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9814355712
  • 9789814355711
  • 1283433958
  • 9781283433952
Subject(s): Genre/Form: Additional physical formats: Print version:: No titleDDC classification:
  • 332.0151922 22
LOC classification:
  • HG106 .S752 2011
Online resources:
Contents:
pt. 1. Stochastic analysis and systems -- pt. 2. Finance and stochastics.
Summary: 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.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Mathematics Available
Total holds: 0

"It is an expanded version of papers presented at the first Kansas-Missouri Winter School of Applied Probability, which was organized by Allanus Tsoi and was held at the University of Missouri, February 14 and 15, 2008"--Page vii.

Includes bibliographical references.

pt. 1. Stochastic analysis and systems -- pt. 2. Finance and stochastics.

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.

Master record variable field(s) change: 072

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