Optional Processes
portes grátis
Optional Processes
Theory and Applications
Melnikov, Alexander; Abdelghani, Mohamed
Taylor & Francis Ltd
04/2022
392
Mole
Inglês
9780367508517
15 a 20 dias
607
Descrição não disponível.
1. Spaces, Laws and Limits. 2. Stochastic Processes. 3. Martingales. 4. Strong Supermartingales. 5. Optional Martingales. 6. Optional Supermartingales Decomposition. 7. Calculus of Optional Semimartingales. 8. Optional Stochastic Equations. 9. Optional Financial Markets. 10. Defaultable Markets on Unusual Space. 11. Filtering of Optional Semimartingales. Bibliography. Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Conditional Expectation;Snell Envelope;unusual probability spaces;Risk Neutral Valuation Formula;optional processes;Uniformly Integrable;strong martingales;Local Martingale;supermartingales;Continuous Local Martingale;Gronwall lemma;Self-financing Trading Strategy;stochastic calculus;Usual Conditions;mathematical finance;Defaultable Markets;Choquet's theorem;Doob Decomposition;stochastic differential equations;Integrable Random Variables;Paved Set;Finite Variation Process;Defaultable Claim;Reduced Form Models;Ex-dividend Price;Default Time;Monotone Class Theorem;Measurable Space;Choquet's Theorem;Default Process;Borel Subsets;Topological Space;Default Events;Section Theorem
1. Spaces, Laws and Limits. 2. Stochastic Processes. 3. Martingales. 4. Strong Supermartingales. 5. Optional Martingales. 6. Optional Supermartingales Decomposition. 7. Calculus of Optional Semimartingales. 8. Optional Stochastic Equations. 9. Optional Financial Markets. 10. Defaultable Markets on Unusual Space. 11. Filtering of Optional Semimartingales. Bibliography. Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Conditional Expectation;Snell Envelope;unusual probability spaces;Risk Neutral Valuation Formula;optional processes;Uniformly Integrable;strong martingales;Local Martingale;supermartingales;Continuous Local Martingale;Gronwall lemma;Self-financing Trading Strategy;stochastic calculus;Usual Conditions;mathematical finance;Defaultable Markets;Choquet's theorem;Doob Decomposition;stochastic differential equations;Integrable Random Variables;Paved Set;Finite Variation Process;Defaultable Claim;Reduced Form Models;Ex-dividend Price;Default Time;Monotone Class Theorem;Measurable Space;Choquet's Theorem;Default Process;Borel Subsets;Topological Space;Default Events;Section Theorem
