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001463208 001__ 1463208
001463208 003__ OCoLC
001463208 005__ 20230601003310.0
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001463208 019__ $$a1375186122
001463208 020__ $$a9783662647110$$qelectronic book
001463208 020__ $$a3662647117$$qelectronic book
001463208 020__ $$z3662647109
001463208 020__ $$z9783662647103
001463208 0247_ $$a10.1007/978-3-662-64711-0$$2doi
001463208 035__ $$aSP(OCoLC)1376012779
001463208 040__ $$aGW5XE$$beng$$erda$$epn$$cGW5XE$$dYDX$$dUKAHL$$dYDX
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001463208 050_4 $$aQA274$$b.R87 2022
001463208 08204 $$a519.2/3$$223/eng/20230414
001463208 1001_ $$aRüschendorf, Ludger.
001463208 24010 $$aStochastische Prozesse und Finanzmathematik.$$lEnglish
001463208 24510 $$aStochastic processes and financial mathematics /$$cLudger Rüschendorf.
001463208 264_1 $$aBerlin, Germany :$$bSpringer,$$c2022.
001463208 300__ $$a1 online resource (1 volume) :$$billustrations (black and white).
001463208 336__ $$atext$$btxt$$2rdacontent
001463208 337__ $$acomputer$$bc$$2rdamedia
001463208 338__ $$aonline resource$$bcr$$2rdacarrier
001463208 4901_ $$aMathematics study resources ;$$vvolume 1
001463208 5050_ $$aOption pricing in models in discrete time -- Scorohod's embedding theorem and Donsker's theorem -- Stochastic integration -- Elements of stochastic analysis -- Option pricing in complete and incomplete markets -- Utility optimization, minimum distance martingales, and utility indiff -- Variance-minimum hedging.
001463208 506__ $$aAccess limited to authorized users.
001463208 520__ $$aThe 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. This book is a translation of the original German 1st edition Stochastische Prozesse und Finanzmathematik by Ludger Rschendorf, 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. 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 It 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, Lvy 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. The Author Prof. Dr. Ludger Rschendorf is professor at the University of Freiburg in the field of mathematical stochastics since 1993. Previously, he taught and conducted research at the universities of Hamburg, Aachen, Freiburg, and Mnster.
001463208 588__ $$aDescription based on print version record.
001463208 650_0 $$aStochastic processes.
001463208 650_0 $$aBusiness mathematics.
001463208 655_0 $$aElectronic books.
001463208 77608 $$iPrint version:$$aRSCHENDORF, LUDGER.$$tSTOCHASTIC PROCESSES AND FINANCIAL MATHEMATICS.$$d[Place of publication not identified] : SPRINGER, 2022$$z3662647109$$w(OCoLC)1285915631
001463208 830_0 $$aMathematics study resources ;$$vBd. 1.
001463208 852__ $$bebk
001463208 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-662-64711-0$$zOnline Access$$91397441.1
001463208 909CO $$ooai:library.usi.edu:1463208$$pGLOBAL_SET
001463208 980__ $$aBIB
001463208 980__ $$aEBOOK
001463208 982__ $$aEbook
001463208 983__ $$aOnline
001463208 994__ $$a92$$bISE