This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more demanding development of continuous time stochastic process, especially Brownian motion.
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B8.2 Continuous Martingales and Stochastic Calculus (2017-2018)
Dispatched from the UK in 4 business days When will my order arrive? Paul Glasserman. Paul Embrechts. Peter E.
Michael Steele. Huyen P. Marek Musiela.
Continuous Stochastic Calculus with Applications to Finance - CRC Press Book
Philip Protter. Jean Jacod. Soren Asmussen. Alan Bain. Eckhard Platen. Jiongmin Yong. Luc Devroye.
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Stochastic Calculus and Financial Applications. Description Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. This is also reflected in the style of writing which is unusually lively for a mathematics book.
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Module and Programme Catalogue
Modelling Extremal Events Paul Embrechts. Stochastic Calculus and Financial Applications J.
Discretization of Processes Jean Jacod. Fundamentals of Stochastic Filtering Alan Bain.