Martingale Limit Theory and Its Application, P. Hall

Автор: Musiela Marek
Название: Martingale Methods in Financial Modelling
ISBN: 3540209662 ISBN-13(EAN): 9783540209669
Издательство: Springer
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Цена: 78250.00 T
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Описание: In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

Автор: Nishiyama
Название: Martingale Methods In Statistics
ISBN: 1466582812 ISBN-13(EAN): 9781466582811
Издательство: Taylor&Francis
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Цена: 117390.00 T
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Описание: This gives a comprehensive introduction to the (standard) statistical analysis based on the theory of martingales and develops entropy methods in order to treat dependent data in the framework of martingales. The author starts a summary of the martingale theory, and then proceeds to give full proofs of the martingale central limit theorems.

Автор: Ruilin Long
Название: Martingale Spaces and Inequalities
ISBN: 3322992683 ISBN-13(EAN): 9783322992680
Издательство: Springer
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Цена: 81050.00 T
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Описание: In the past twenty years, the Hp-BMO Theory on Rn has undergone a flourishing development, which should partly give the credit to the application of some martin- gale idea and methods. It would be valuable to exhibit some examples concerning this point. As one of the key parts of Calder6n-Zygmund's real method which first appeared in the 50's, Calder6n-Zygmund Decomposition is exactly the so-called stopping time argument in nature which already existed in the Probability Theory early in the 30's, although such a close relationship between Calder6n-Zygmund De- composition and the stopping time argument perhaps was not realized consciously at that time. But after the 70's we actually used the stopping time argument in- tentionally as a method of thinking in Analysis. Later, when classical Hp Theory had undergone an evolution from one chapter in the Complex Variable Theory to an independent branch (the key step to accelerate this evolution was D. Burkholder- R. Gundy-M. Silverstein's well-known work in the early 70's on the maximal function characterization of Hp), Martingale Hp-BMO Theory soon appeared as a counter- part of the classical Hp-BMO Theory. Owing to the simplicity of the structure in martingale setting, many new ideas and methods might be produced easier on this stage. These new things have shown a great effect on the classical Hp-BMO The- ory. For example, the concept of atomic decomposition of H P was first germinated in martingale setting; the good >.

Автор: Adam Os?kowski
Название: Sharp Martingale and Semimartingale Inequalities
ISBN: 303480749X ISBN-13(EAN): 9783034807494
Издательство: Springer
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Цена: 102480.00 T
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Описание: This detailed explanation of Burkholder`s method presents, for most estimates, the steps leading to the discovery of the corresponding special functions, and deploys diverse analytic and probabilistic methods to solve the corresponding boundary value problems.

Автор: Ferenc Weisz
Название: Martingale Hardy Spaces and their Applications in Fourier Analysis
ISBN: 3540576231 ISBN-13(EAN): 9783540576235
Издательство: Springer
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Цена: 37220.00 T
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Описание: This monograph deals with the theory of one-and two-parameter martingale Hardy spaces and their use in Fourier analysis. The atomic decomposition method is applied to both theories, and a new proof of Carleson`s convergence result, using martingale methods, is provided.

Автор: L. C. G. Rogers
Название: Diffusions, Markov Processes and Martingales
ISBN: 0521775930 ISBN-13(EAN): 9780521775939
Издательство: Cambridge Academ
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Цена: 77090.00 T
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Описание: This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.

Автор: Robert Liptser; A.N. Shiryayev
Название: Theory of Martingales
ISBN: 9401076006 ISBN-13(EAN): 9789401076005
Издательство: Springer
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Цена: 153720.00 T
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Автор: Charles A. Hayes; C.Y. Pauc
Название: Derivation and Martingales
ISBN: 3642861822 ISBN-13(EAN): 9783642861826
Издательство: Springer
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Цена: 46570.00 T
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Автор: J.-A. Chao; W.A. Woyczynski
Название: Martingale Theory in Harmonic Analysis and Banach Spaces
ISBN: 3540115692 ISBN-13(EAN): 9783540115694
Издательство: Springer
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Цена: 32560.00 T
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Автор: Marek Musiela; Marek Rutkowski
Название: Martingale Methods in Financial Modelling
ISBN: 3642058981 ISBN-13(EAN): 9783642058981
Издательство: Springer
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Цена: 93160.00 T
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Описание: This thoroughly revised second edition includes a brand new chapter devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.