CHANGE OF TIME AND CHANGE OF MEASURE (SECOND EDITION)(ADVANCED SERIES ON STATISTICAL SCIENCE AND APPLIED PROBABILITY)

时间和测度的变换 第2版

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原   价:
670.00
售   价:
502.00
发货周期:预计3-5周发货
作      者
出  版 社
出版时间
2015年05月08日
装      帧
精装
ISBN
9789814678582
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页      码
344
语      种
英文
版      次
2nd ed.
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图书简介
Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields. The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance. In this Second Edition a Chapter 13 entitled ’A Wider View’ has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed ’Ambit Stochastics’. Key Features: ○ There is no other book on the market with such a specific and in-depth focus on these two main issues of change of time and change of probability law and Lévy measure ○ It is invaluable as a textbook for graduate-level courses and students, or a handy reference for researchers and practitioners in financial mathematics and econometrics ○ Provides a strong and comprehensive account by drawing together sources from a wide range of books and research papers in the fields of theoretical and applied probability
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Harvard Library
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