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Change Of Time And Change Of Measure (Second Edition)

2015-05-07 Business & Economics
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Release : 2015-05-07
Genre : Business & Economics
Kind : eBook
Book Rating : 600/5 ( reviews)

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Book Synopsis Change Of Time And Change Of Measure (Second Edition) by : Ole E Barndorff-nielsen

Download or read book Change Of Time And Change Of Measure (Second Edition) written by Ole E Barndorff-nielsen. This book was released on 2015-05-07. Available in PDF, EPUB and Kindle. Book excerpt: 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'.

Change Of Time And Change Of Measure

2010-11-04 Business & Economics
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Release : 2010-11-04
Genre : Business & Economics
Kind : eBook
Book Rating : 002/5 ( reviews)

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Book Synopsis Change Of Time And Change Of Measure by : Ole E Barndorff-nielsen

Download or read book Change Of Time And Change Of Measure written by Ole E Barndorff-nielsen. This book was released on 2010-11-04. Available in PDF, EPUB and Kindle. Book excerpt: 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. 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.

Change of Time and Change of Measure

2010
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Release : 2010
Genre :
Kind : eBook
Book Rating : 541/5 ( reviews)

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Book Synopsis Change of Time and Change of Measure by : Ole E. Barndorff-Nielsen

Download or read book Change of Time and Change of Measure written by Ole E. Barndorff-Nielsen. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt:

Change of Time and Change of Measure

2015 Probabilities
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Release : 2015
Genre : Probabilities
Kind : eBook
Book Rating : 582/5 ( reviews)

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Book Synopsis Change of Time and Change of Measure by : Ole E. Barndorff-Nielsen

Download or read book Change of Time and Change of Measure written by Ole E. Barndorff-Nielsen. This book was released on 2015. Available in PDF, EPUB and Kindle. Book excerpt: 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'.

Change of Time Methods in Quantitative Finance

2016-05-31 Mathematics
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Release : 2016-05-31
Genre : Mathematics
Kind : eBook
Book Rating : 08X/5 ( reviews)

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Book Synopsis Change of Time Methods in Quantitative Finance by : Anatoliy Swishchuk

Download or read book Change of Time Methods in Quantitative Finance written by Anatoliy Swishchuk. This book was released on 2016-05-31. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices. Explicit formulas are also derived for variance and volatility swaps for financial markets with a stochastic volatility following a classical and delayed Heston model. The CTM is applied to price financial and energy derivatives for one-factor and multi-factor alpha-stable Levy-based models. Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale.

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