Change of time and change of measure
著者
書誌事項
Change of time and change of measure
（Advanced series on statistical science & applied probability, v. 13）
World Scientific, c2010
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
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.
目次
- Random Change of Time
- Integral Representations and Change of Time in Stochastic Integrals
- Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis
- Stochastic Exponential and Stochastic Logarithm. Cumulant Processes
- Processes with Independent Increments. Levy Processes
- Change of Measure. General Facts
- Change of Measure in Models Based on Levy Processes
- Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes
- Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case
- Martingale Measures in the Stochastic Theory of Arbitrage
- Change of Measure in Option Pricing
- Conditionally Brownian and Levy Processes. Stochastic Volatility Models.
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