CHANGE OF TIME AND CHANGE OF MEASURE by Ole E. Barndorff-Nielsen, Albert N. Shiryaev ( 9789814324472 )

Item Details

Title:

CHANGE OF TIME AND CHANGE OF MEASURE

By:

Ole E. Barndorff-Nielsen, Albert N. Shiryaev

Format:

Hardback

List price:

£61.00

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£54.90

Discount:

10% off

You save:

£6.10

ISBN 10:

9814324477

ISBN 13:

9789814324472

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Publisher:

WORLD SCIENTIFIC PUBLISHING CO PTE LTD

Pub. date:

9 November, 2010

Series:

Advanced Series on Statistical Science & Applied Probability 13

Pages:

324

Description:

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.

Synopsis:

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. It is invaluable as a textbook for graduate-level courses and students or a handy reference for researchers and practitioners in financial mathematics and econometrics.

Publication:

Singapore

Imprint:

World Scientific Publishing Co Pte Ltd

Returns:

Returnable

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