Elementary Stochastic Calculus, with Finance in View
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Publication:4236352
DOI10.1142/3856zbMATH Open0934.60002OpenAlexW4293248524MaRDI QIDQ4236352FDOQ4236352
Publication date: 28 March 1999
Published in: Advanced Series on Statistical Science & Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/3856
Recommendations
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic analysis (60Hxx)
Cited In (46)
- Stochastics at the stock exchange -- is this necessary?
- Der Itô-Kalkül
- Quasi-Monte Carlo algorithms for diffusion equations in high dimensions
- Exact linearization of one-dimensional jump-diffusion stochastic differential equations
- Elementary stochastic calculus for finance with infinitesimals
- PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
- An application of new method to obtain probability density function of solution of stochastic differential equations
- PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
- Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
- A stochastic approach to multi-gene expression dynamics
- CVA Computing by PDE Models
- Double-exponential fast Gauss transform algorithms for pricing discrete lookback options
- Parameter estimation for Fisher–Snedecor diffusion
- A generalized entropy optimization modelling in the theory of stochastic differential equations
- Equilibrium models with heterogeneous agents under rational expectations and its numerical solution
- Title not available (Why is that?)
- Itô-Henstock integral and Itô's formula for the operator-valued stochastic process
- Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations
- Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
- Statistical inference for reciprocal gamma diffusion process
- Default and prepayment options pricing and default probability valuation under VG model
- A Girsanov result for the Pettis integral
- Pricing used products for remanufacturing
- Rational pricing of leveraged ETF expense ratios
- Title not available (Why is that?)
- A vector Girsanov result and its applications to conditional measures via the Birkhoff integrability
- On stochastic variational inequalities with mean value constraints
- Introduction to stochastic calculus for finance. A new didactic approach.
- Probabilistic forecasts of solar irradiance using stochastic differential equations
- Power-law distribution of gene expression fluctuations
- Numerical techniques for pricing callable bonds with notice
- Stochastic analysis of autoregulatory gene expression dynamics
- Title not available (Why is that?)
- The first passage time density of Ornstein-Uhlenbeck process with continuous and impulsive excitations
- Title not available (Why is that?)
- Finite-dimensional models for response analysis
- Closed-form approximations for diffusion densities: A path integral approach.
- A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty
- Double Lusin condition and convergence theorems for the backwards Itô-Henstock integral
- Variable dimension via stochastic volatility model using FX rates
- A descriptive definition of the Itô-Henstock integral for the operator-valued stochastic process
- A descriptive definition of the backwards Itô-Henstock integral
- Exact solutions for the probability density of various conditioned processes with an entrance boundary
- An introduction to multilevel Monte Carlo for option valuation
- A constructive approach to gene expression dynamics
- Transformation invariant stochastic catastrophe theory
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