Stochastic calculus for quantitative finance

MaRDI QIDQ2943523zbMATH OpenFDO

Authors A. A. Gushchin

Publication date 3 September 2015

zbMATH Keywords

martingalessemimartingalesstochastic exponentialsstochastic integralsstochastic processes

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Recommendations

• Stochastic calculus. An introduction through theory and exercises
• Elementary Stochastic Calculus, with Finance in View
• Stochastic analysis
• A first course in stochastic calculus
• scientific article; zbMATH DE number 1269547

Cited in

(16)

• Stochastic calculus for assets with non-Gaussian price fluctuations
• Simplified stochastic calculus with applications in economics and finance
• Single jump filtrations and local martingales
• Stochastic calculus of variations in mathematical finance.
• Continuous stochastic calculus with applications to finance
• scientific article; zbMATH DE number 1257762 (Why is no real title available?)
• Stochastic Calculus and Differential Equations for Physics and Finance
• Stochastic processes and financial mathematics. Translated from the German
• Stochastic analysis
• The joint law of a max-continuous local submartingale and its maximum
• The joint law of terminal values of a nonnegative submartingale and its compensator
• Stochastic calculus and applications
• Theoretical Foundations for Quantitative Finance
• A short history of stochastic integration and mathematical finance: the early years, 1880--1970
• Stochastic differential equations. An introduction with applications.
• A Course of Stochastic Analysis

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