MARC details
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03475nam a22003617a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20250215154158.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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250215b |||||||| |||| 00| 0 hin d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783662647103 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
NISER LIBRARY |
| Language of cataloging |
eng |
| Transcribing agency |
NISER LIBRARY |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519.21 |
| Item number |
RUS-S |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Rüschendorf, Ludger |
| 245 ## - TITLE STATEMENT |
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| Title |
Stochastic processes and financial mathematics |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc. |
Berlin, Heidelberg : |
| Name of publisher, distributor, etc. |
Springer Berlin / Heidelberg, |
| Date of publication, distribution, etc. |
2023. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
ix, 304 pages : |
| Other physical details |
illustrations (1 b/w illustrations) |
| 490 ## - SERIES STATEMENT |
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| Series statement |
Mathematics study resources ; |
| Volume/sequential designation |
volume 1 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references and index. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered. Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models. The basic construction of the stochastic integral and the associated martingale theory provide fundamental methods of the theory of stochastic processes for the construction of suitable stochastic models of financial mathematics, e.g. using stochastic differential equations. Central results of stochastic analysis such as the Itô formula, Girsanov's theorem and martingale representation theorems are of fundamental importance in financial mathematics, e.g. for the risk-neutral valuation formula (Black-Scholes formula) or the question of the hedgeability of options and the completeness of market models. Chapters on the valuation of options in complete and incomplete markets and on the determination of optimal hedging strategies conclude the range of topics. Advanced knowledge of probability theory is assumed, in particular of discrete-time processes (martingales, Markov chains) and continuous-time processes (Brownian motion, Lévy processes, processes with independent increments, Markov processes). The book is thus suitable for advanced students as a companion reading and for instructors as a basis for their own courses. This book is a translation of the original German 1st edition Stochastische Prozesse und Finanzmathematik by Ludger Rüschendorf, published by Springer-Verlag GmbH Germany, part of Springer Nature in 2020. The translation was done with the help of artificial intelligence (machine translation by the service DeepL.com) and in a subsequent editing, improved by the author. Springer Nature works continuously to further the development of tools for the production of books and on the related technologies to support the authors. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Stochastic processes |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Business mathematics |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Financial mathematics |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Skorohods embedding theorem |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Donsker theorem |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Stochastic integral |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Stochastic analysis |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Option pricing |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Black-Scholes model |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Portfolio optimization |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Utility optimization |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Materials specified |
Table of content |
| Uniform Resource Identifier |
<a href="https://link.springer.com/content/pdf/bfm:978-3-662-64711-0/1">https://link.springer.com/content/pdf/bfm:978-3-662-64711-0/1</a> |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Materials specified |
Reviews |
| Uniform Resource Identifier |
<a href="https://www.goodreads.com/book/show/211918505-stochastic-processes-and-financial-mathematics?ref=nav_sb_ss_1_13#CommunityReviews">https://www.goodreads.com/book/show/211918505-stochastic-processes-and-financial-mathematics?ref=nav_sb_ss_1_13#CommunityReviews</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Universal Decimal Classification |
| Koha item type |
Book |
