Lévy Jump-Diffusions, Market Models, and Applications

Name: Lévy Jump-Diffusions, Market Models, and Applications
Brand: Scholars' Press
SKU: 9786138720492
Price: 42.04 EUR
Availability: InStock

Автор: Wen Jiang

Език:

Корици: С меки корици

Издател: Scholars' Press

Наличност: Външен склад

Изпращаме след 5-8 дни

42.04 € 82.23 лв

In this book, we constructed the exponential semimartingales, martingales, discrete and continuous-t...

Информация за книгата

Автор

Wen Jiang

Език

Английски език

Корици

Книга - С меки корици

Издадена

2019

страници

EAN

9786138720492

ISBN

6138720490

Enbook ID

22118814

Издател

Scholars' Press

Теглоt

137

Размери

150 x 220 x 5

Пълно описание

In this book, we constructed the exponential semimartingales, martingales, discrete and continuous-time stochastic processes, Lévy processes, jump-diffusions, and market models. We modified various exponential processes and obtained the equivalent local martingale measures. We obtained the martingales properties and key features and utilized density processes for defining the equivalent changes of measures. As the change of measure was introduced, we studied and managed the stochastic exponentials, predictable characteristics, assessments analyze risk and financial holding, business processes to model, simulate, and compute with the analytics and insights. Furthermore, as the martingales and time series were simplified in integral or summative forms, these computationally tractable results could then be Fast Fourier transformed for real-time predictions and regulatory oversight.

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Lévy Jump-Diffusions, Market Models, and Applications

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