Continuous Stochastic Calculus with Applications to Finance

"This text provides a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessary for readers to understand the construction of the stochastic integral with respect to a general continuous semimartingale."--BOOK JACKET.

First sentence: Preliminaries. Let (F, P) be a probability space, R = [-, +] denote the extended real line and B(R) and B (Rn) the Borel o-fields on R and Rn respectively.

Year

2000

Language

English

Publisher

Chapman & Hall/CRC

Editions

1

Pages

336

ISBN

9781584882343

Data source: Wikidata