Maria Do Rosario Grossinho Albert N. Shiryaev Manuel L. Esqumvel
Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world's financial institutions.
Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to...
Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a subst...
Advanced maths students have been waiting for this, the third edition of a text that deals with one of the fundamentals of their field. This book contains a systematic treatment of probability from the ground up, starting with intuitive ideas and gradually developing more sophisticated subjects, such as random walks and the Kalman-Bucy filter. Examples are discussed in detail, and there are a large number of exercises. This third edition contains new problems and exercises, new proofs, expanded material on financial mathematics, financial engineering, and mathematical statistics, and a...
Advanced maths students have been waiting for this, the third edition of a text that deals with one of the fundamentals of their field. This book c...
Advanced maths students have been waiting for this, the third edition of a text that deals with one of the fundamentals of their field. This book contains a systematic treatment of probability from the ground up, starting with intuitive ideas and gradually developing more sophisticated subjects, such as random walks and the Kalman-Bucy filter. Examples are discussed in detail, and there are a large number of exercises. This third edition contains new problems and exercises, new proofs, expanded material on financial mathematics, financial engineering, and mathematical statistics, and a...
Advanced maths students have been waiting for this, the third edition of a text that deals with one of the fundamentals of their field. This book c...
Albert N. Shiryaev Maria Do Rosario Grossinho Paulo E. Oliveira
Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world s financial institutions.
Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to...
Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a subst...
At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the ItO formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion- type processes. In the first edition of these volumes,...
At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not op...
At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not operate widely with such notions as semimartingale, stochastic integral with respect to semimartingale, the Ito formula for semimartingales, etc. At that time in stochastic calculus (theory of martingales), the main object was the square integrable martingale. In a short time, this theory was applied to such areas as nonlinear filtering, optimal stochastic control, statistics for diffusion- type processes. In the first edition of these volumes,...
At the end of 1960s and the beginning of 1970s, when the Russian version of this book was written, the 'general theory of random processes' did not op...
Preface In the axioms of probability theory proposed by Kolmogorov the basic "probabilistic" object is the concept of a probability model or probability space. This is a triple (n, F, P), where n is the space of elementary events or outcomes, F is a a-algebra of subsets of n announced by the events and P is a probability measure or a probability on the measure space (n, F). This generally accepted system of axioms of probability theory proved to be so successful that, apart from its simplicity, it enabled one to embrace the classical branches of probability theory and, at the same time, it...
Preface In the axioms of probability theory proposed by Kolmogorov the basic "probabilistic" object is the concept of a probability model or probabili...
For the first two editions of the book Probability (GTM 95), each chapter included a comprehensive and diverse set of relevant exercises. While the work on the third edition was still in progress, it was decided that it would be more appropriate to publish a separate book that would comprise all of the exercises from previous editions, in addition to many newexercises.
Most of the material in this book consists of exercises created by Shiryaev, collected and compiled over the course of many years while working on many interesting topics. Many of the exercises resulted from...
For the first two editions of the book Probability (GTM 95), each chapter included a comprehensive and diverse set of relevant exercises. While the...
The role of Yuri Vasilyevich Prokhorov as a prominent mathematician and leading expert in the theory of probability is well known. This volume includes scientific contributions written by his colleagues, friends and pupils, who would like to express their deep respect and sincerest admiration for him and his scientific work.
The role of Yuri Vasilyevich Prokhorov as a prominent mathematician and leading expert in the theory of probability is well known. This volume include...
