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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

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 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:

Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition)

2021-09-02 Mathematics
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Release : 2021-09-02
Genre : Mathematics
Kind : eBook
Book Rating : 628/5 ( reviews)

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Book Synopsis Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) by : Nicolas Privault

Download or read book Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) written by Nicolas Privault. This book was released on 2021-09-02. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.

Stochastic Processes with Applications to Finance, Second Edition

2013-04-18 Business & Economics
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Release : 2013-04-18
Genre : Business & Economics
Kind : eBook
Book Rating : 82X/5 ( reviews)

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Book Synopsis Stochastic Processes with Applications to Finance, Second Edition by : Masaaki Kijima

Download or read book Stochastic Processes with Applications to Finance, Second Edition written by Masaaki Kijima. This book was released on 2013-04-18. Available in PDF, EPUB and Kindle. Book excerpt: Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools that are easy to understand even for those with little mathematical expertise. This second edition covers several important developments in the financial industry. New to the Second Edition A chapter on the change of measures and pricing of insurance products Many examples of the change of measure technique, including its use in asset pricing theory A section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivatives Exploring the merge of actuarial science and financial engineering, this edition examines how the pricing of insurance products, such as equity-linked annuities, requires knowledge of asset pricing theory since the equity index can be traded in the market. The book looks at the development of many probability transforms for pricing insurance risks, including the Esscher transform. It also describes how the copula model is used to model the joint distribution of underlying assets. By presenting significant results in discrete processes and showing how to transfer the results to their continuous counterparts, this text imparts an accessible, practical understanding of the subject. It helps readers not only grasp the theory of financial engineering, but also implement the theory in business.

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