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An Introduction to Continuous-Time Stochastic Processes Theory, Models, and Applications to Finance, Biology, and Medicine
Rok: 2004
ISBN: 9780817632342
OKCZID: 110279952
Citace (dle ČSN ISO 690):
CAPASSO, Vincenzo. An introduction to continuous-time stochastic processes: theory, models, and applications to finance, biology, and medicine. Boston: Birkhäuser, c2005. ix, 343 s. Modeling and simulation in science, engineering and technology.
Anotace
Here is an introduction to the theory of continuous-time stochastic processes. A balance of theory and applications, the work features concrete examples of modeling real-world problems from engineering, biomathematics, industrial mathematics, and finance using stochastic methods. Key topics include: • Interacting particles, from polymers to ants • Population dynamics: birth and death processes • Financial market models: the non-arbitrage principle • Option pricing: the risk-neutral valuation theory An Introduction to Continuous-Time Stochastic Processes will be of interest to a broad audience of students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, biotechnology, and engineering. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference.