图书简介
It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications.
Optional Processes: Theory and Applications;seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis.
This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance.
Features
Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas
Compiles almost all essential results on the calculus of optional processes in unusual probability spaces
Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes
Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc.
Authors
Mohamed Abdelghani completed his PhD in mathematical finance from the University of Alberta, Edmonton, Canada. He is currently working as a vice president in quantitative finance and machine learning at Morgan Stanley, New York, USA.
Alexander Melnikov is a professor in mathematical finance at the U
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