Stochastic Analysis, Stochastic Systems, and Applications to Finance

Front Cover
Allanus Hak-Man Tsoi, David Nualart, George Yin
World Scientific, 2011 - Electronic books - 261 pages
0 Reviews
This book introduces some advanced topics in probability theories OCo both pure and applied OCo is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.

What people are saying - Write a review

We haven't found any reviews in the usual places.

Other editions - View all

Common terms and phrases

About the author (2011)

Yin-Wayne State University, Detroit, MI

Bibliographic information