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Stochastic analysis, stochastic systems, and applications to finance / edited by Allanus Tsoi, David Nualart, George Yin.
- Format:
- Book
- Language:
- English
- Subjects (All):
- Finance--Mathematical models--Congresses.
- Finance.
- Stochastic systems--Congresses.
- Stochastic systems.
- Stochastic analysis--Congresses.
- Stochastic analysis.
- Physical Description:
- 1 online resource (274 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Singapore : World Scientific, c2011.
- Language Note:
- English
- 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 m
- Contents:
- pt. 1. Stochastic analysis and systems
- pt. 2. Finance and stochastics.
- Notes:
- "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"--P. vii.
- Includes bibliographical references.
- ISBN:
- 9786613433954
- 9781283433952
- 1283433958
- 9789814355711
- 9814355712
- OCLC:
- 877767708
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