Lévy Processes and Stochastic Calculus
Author:   David Applebaum (University of Sheffield)
Publisher:   Cambridge University Press
Edition:   2nd Revised edition
Volume:   116
ISBN:  

9780511809781


Publication Date:   25 January 2011
Format:   Undefined
Availability:   Available To Order   Availability explained
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Lévy Processes and Stochastic Calculus


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Author:   David Applebaum (University of Sheffield)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press (Virtual Publishing)
Edition:   2nd Revised edition
Volume:   116
ISBN:  

9780511809781


ISBN 10:   0511809786
Publication Date:   25 January 2011
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Undefined
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

Preface to second edition; Preface to first edition; Overview; Notation; 1. Lévy processes; 2. Martingales, stopping times and random measures; 3. Markov processes, semigroups and generators; 4. Stochastic integration; 5. Exponential martingales; 6. Stochastic differential equations; References; Index of notation; Subject index.

Reviews

'The book introduces all the tools that are needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem.' L'Enseignement Mathematique 'The monograph provides a good introduction to the subject, the exposition is clear and systematic, the key points and proofs are easy to follow; therefore it can be a valuable guide both as a textbook for graduate students and as a reference for researchers in the field of stochiastic calculus ... This book is written with great care and precision. Due to its lucid and comprehensive style of presentation, it will make the theory of Levy processes accessible to a broad mathematical audience.' Mathematical Reviews


'The book introduces all the tools that are needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem.' L'Enseignement Mathematique 'The monograph provides a good introduction to the subject, the exposition is clear and systematic, the key points and proofs are easy to follow; therefore it can be a valuable guide both as a textbook for graduate students and as a reference for researchers in the field of stochiastic calculus ... This book is written with great care and precision. Due to its lucid and comprehensive style of presentation, it will make the theory of Levy processes accessible to a broad mathematical audience.' Mathematical Reviews The monograph provides a good introduction to the subject, the exposition is clear and systematic, the key points and proofs are easy to follow; therefore it can be a valuable guide both as a textbook for graduate students and as a reference for researchers in the field of stochastic calculus. The book is written with great care and precision. Due to its lucid and comprehensive style of presentation, it will make the theory of Levy processes accessible to a broad mathematical audience. Dora Selesi, Mathematical Reviews


Author Information

David Applebaum is a Professor in the Department of Probability and Statistics at the University of Sheffield.

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