Change Of Time And Change Of Measure

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Change Of Time And Change Of Measure

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Author : Ole E Barndorff-Nielsen
language : en
Publisher: World Scientific Publishing Company
Release Date : 2015-05-07

Change Of Time And Change Of Measure written by Ole E Barndorff-Nielsen and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-07 with Business & Economics categories.

Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields. The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance. In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.

Change Of Time And Change Of Measure

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Author : Ole E. Barndorff-Nielsen
language : en
Publisher:
Release Date : 2010

Change Of Time And Change Of Measure written by Ole E. Barndorff-Nielsen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

Change Of Time And Change Of Measure

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Author : Ole E. Barndorff-Nielsen
language : en
Publisher: Advanced Series on Statistical Science & Applied Probability
Release Date : 2015

Change Of Time And Change Of Measure written by Ole E. Barndorff-Nielsen and has been published by Advanced Series on Statistical Science & Applied Probability this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Probabilities categories.

Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields. The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance. In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.

Change Of Time And Change Of Measure

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Author : Ole E. Barndorff-Nielsen
language : en
Publisher: World Scientific
Release Date : 2010

Change Of Time And Change Of Measure written by Ole E. Barndorff-Nielsen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.

A comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results.

Change Of Time Methods In Quantitative Finance

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Author : Anatoliy Swishchuk
language : en
Publisher: Springer
Release Date : 2016-05-31

Change Of Time Methods In Quantitative Finance written by Anatoliy Swishchuk and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-31 with Mathematics categories.

This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices. Explicit formulas are also derived for variance and volatility swaps for financial markets with a stochastic volatility following a classical and delayed Heston model. The CTM is applied to price financial and energy derivatives for one-factor and multi-factor alpha-stable Levy-based models. Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale.

Diffusions Markov Processes And Martingales Volume 2 It Calculus

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Author : L. C. G. Rogers
language : en
Publisher: Cambridge University Press
Release Date : 2000-09-07

Diffusions Markov Processes And Martingales Volume 2 It Calculus written by L. C. G. Rogers and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-09-07 with Mathematics categories.

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.

Stochastic Calculus For Finance Ii

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Author : Steven E. Shreve
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-06-03

Stochastic Calculus For Finance Ii written by Steven E. Shreve and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-06-03 with Business & Economics categories.

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

Introduction To Stochastic Calculus With Applications

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Author : Fima C. Klebaner
language : en
Publisher: Imperial College Press
Release Date : 2005

Introduction To Stochastic Calculus With Applications written by Fima C. Klebaner and has been published by Imperial College Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Mathematics categories.

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.

Optimal Stopping And Free Boundary Problems

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Author : Goran Peskir
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-11-10

Optimal Stopping And Free Boundary Problems written by Goran Peskir and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-10 with Mathematics categories.

This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics.

Change Of Time And Measure For L Vy Processes

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Author : A. S. Cherny
language : en
Publisher:
Release Date : 2002*

Change Of Time And Measure For L Vy Processes written by A. S. Cherny and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002* with categories.