ENGLISH

Change of time and change of measure

By Barndorff-Nielsen , Ole E.; Širjaev , Alʹbert N.

Book information

Publisher
World Scientific
Year
2015
ISBN
9789814678582, 9814678589
Language
english
Format
PDF
Filesize
8 MB (8803972 bytes)
Series
Advanced series on statistical science et applied probability 21.
Edition
2. ed.
Pages
326 Se\345
Time added
2018-09-21 18:44:42
Random measures;Stochastic analysis;Stochastic mod

Description

Random Change of Time Integral Representations and Change of Time in Stochastic Integrals Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis Stochastic Exponential and Stochastic Logarithm. Cumulant Processes Processes with Independent Increments. Levy Processes Change of Measure. General Facts Change of Measure in Models Based on Levy Processes Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case Martingale Measures in the Stochastic Theory of Arbitrage Change of Measure in Option Pricing Conditionally Brownian and Levy Processes. Stochastic Volatility Models A Wider View. Ambit Processes and Fields, and Volatility/Intermittency

Similar books