stochastic processes and stochastic integration - marcus pivato

Ngày tải lên: 08/04/2014, 12:26

... Signals • Finite-Energy Second-Order Stochastic Processes • Second-Order Com- plex Stochastic Processes • Complex Representations of Finite-Energy Second-Order Stochastic Processes • Finite- PowerStochastic ... Nostrand Company, New York, 1963. [2] Papoulis, A., Probability, Random Variables, and Stochastic Processes, 3rd ed., McGraw-Hill, New York, 1991. [3] Leon-Garcia, A....

Ngày tải lên: 25/10/2013, 02:15

Ngày tải lên: 17/03/2014, 15:00

Ngày tải lên: 31/03/2014, 16:23

... chapters deal with Stochastic Differential Equations in Finance. References: 1. B. Oksendal, Stochastic Differential Equations, Springer-Verlag,1995 2. J. Hull, Options, Futures and other Derivative ... : Subtracting one of these from the other and solving for  1 T  , we obtain the “delta-hedging for- mula”  1 T = V 2 TH , V 2 TT S 2 TH , S 2 TT ; (1.12) and substitu...

Ngày tải lên: 09/12/2013, 19:15

Ngày tải lên: 17/12/2013, 15:19

... 1:36: 116 (5-S 0 ) + =1ζ 0 (5-S 0 ) + =1 (5 - S 1 (H)) + = 0 (H)ζ 1 (5 - S + (HH)) = 0 2 (5 - S + (HH)) = 0 2 ζ 2 (HH) 1/3 2/3 1/3 2/3 1/3 2/3 ζ 1 (5 - S 1 + (5 - S 1 + (T)) (T)) (T) = 3 = 1.80 (5 - S 1 (H)) + = ... IPand f IP are equivalent if and only if IP A=0 exactly when f IP A=0; 8A2F: If IPand f IP are equivalent and Z is the Radon-Nikodym derivative of...

Ngày tải lên: 20/12/2013, 19:15

... 0.80 -0 .01 0.70 x>0.30 -0 .59 0.67 -0 .47 0.75 -0 .50 0.91 -0 .50 0.77 -0 .46 0.59 0.04 0.70 0.23 0.81 -0 .01 0.70 -0 .59 0.67 -0 .47 0.75 -0 .49 0.91 -0 .49 0.77 -0 .58 0.67 -0 .40 0.73 0.52 1.47 -0 .24 ... of stock returns 41 -2 .5 -2 -1 .5 -1 5 0 .5 1 1.5 2 -9 .5 -9 -8 .5 -8 -7 .5 -7 -6 .5 Figure 6.3: Simulation...

Ngày tải lên: 21/12/2013, 01:20

... A. and J.L. Lions, Applications of Variational Inequalities in Stochastic Control, Elsevier North-Holland, 1978. 2. Bensoussan, A., 2008, ”Real Options”, Handbook of Mathematical Modelling and ... exchange option in a Wick-fractional Black-Scholes model. Keywords: Wick-Itˆo formula; Gaussian processes; Malliavin calculus. 1. Introduction The classical stochastic calculus and Itˆo’s...

Ngày tải lên: 22/02/2014, 06:20