Bøger af Albert N (Steklov Mathematical Inst

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. This book is suitable for graduate-level courses and students, as well as for researchers and practitioners in financial mathematics and econometrics.

This text provides information for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty. It introduces the reader to the main concepts, notions and results of stochastic financial mathematics.