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Authors: Klaus Bichteler
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Type: BOOK - Published: 2002-05-13 - Publisher: Cambridge University Press

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The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.
PDE and Martingale Methods in Option Pricing
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Type: BOOK - Published: 2011-04-15 - Publisher: Springer Science & Business Media

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This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for
Applied Stochastic Control of Jump Diffusions
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Pages: 263
Authors: Bernt Øksendal
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Type: BOOK - Published: 2007-04-26 - Publisher: Springer Science & Business Media

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Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its ap
Elementary Stochastic Calculus with Finance in View
Language: en
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Authors: Thomas Mikosch
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Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, ch
Introduction to Stochastic Calculus with Applications
Language: en
Pages: 431
Authors: Fima C. Klebaner
Categories: Mathematics
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This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of