Stochastic Analysis
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Nikolaos Halidias
About this book
Stochastic analysis is a complex field, and this book aims to provide a detailed coverage of it. The book is intended to serve as a comprehensive resource for graduate students and researchers, offering a solid foundation in the principles and techniques of stochastic analysis, with a focus on financial problems.
The book also aims to bridge the gap between theory and practice by providing examples and case studies that illustrate how stochastic analysis can be used to solve real-world financial problems. It addresses the demand for resources that cover the stochastic analysis theory related to finance comprehensively, and hopes to make a valuable contribution to the field by advancing our understanding of stochastic analysis and its applications in finance.
Since stochastic analysis is a rapidly evolving field, the book showcases some of the latest research findings in the topic. It aims to promote further research in the field, serving as a platform for researchers to share their ideas and findings with a wider audience.
- Contains numerical solutions of Stochastic Differential Equations
- Applications to Financial Mathematics
- Includes MATLAB codes
Author / Editor information
Prof. Dr. Nikolaos Halidias, University of the Aegean, Department of Statistics and Actuarial – Financial Mathematics, 83200, Greece, E-mail: nick@aegean.gr
Dr. Ioannis Stamatiou, University of West Attica, Department of Surveying and Geoinformatics Engineering, 12243, Greece, E-mail: istamatiou@uniwa.gr
Topics
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Frontmatter
I -
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Preface
V -
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Contents
VII -
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List of Figures
XI -
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1 Combinatorics
1 -
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2 Random experiment, sample space
5 -
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3 Random variables
15 -
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4 Discrete random variables
21 -
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5 Expectation
47 -
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6 Absolutely continuous random variables
61 -
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7 Characteristic functions
69 -
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8 Discrete-time Markov chains
85 -
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9 Poisson stochastic process
247 -
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10 Continuous-time stochastic processes
277 -
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11 Applications in financial mathematics
352 -
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Bibliography
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Index
395
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