Random Times and Enlargements of Filtrations in a Brownian Setting
In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the ...
Weiterlesen
Stochastic Calculus for Fractional Brownian Motion and Applications
Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. ...
Weiterlesen
Stochastic Finance
Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, ...
Weiterlesen
Survival and Event History Analysis : A Process Point of View
The aim of this book is to bridge the gap between standard textbook models and a range of models where the dynamic structure ...
Weiterlesen
Séminaire de Probabilités XLI
Stochastic processes are as usual the main subject of the Séminaire, with contributions on Brownian motion (fractional or ...
Weiterlesen
Séminaire de Probabilités XXXVIII
Besides a series of six articles on Lévy processes, Volume 38 of the Séminaire de Probabilités contains contributions ...
Weiterlesen
The Mathematics of Arbitrage
This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities ...
Weiterlesen
The Mathematics of Arbitrage
This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities ...
Weiterlesen
Theory of Probability and Random Processes
A one-year course in probability theory and the theory of random processes, taught at Princeton University to undergraduate ...
Weiterlesen
Theory of Stochastic Differential Equations with Jumps and Applications
This book is written for people who are interested in stochastic differential equations (SDEs) and their applications. It ...
Weiterlesen
