Stochastic Processes and Models
AbstractStochastic Processes and Models provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: random walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing. The text has been thoroughly class-tested and is ideal for an undergraduate second course in probability.
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Bibliographic InfoThis book is provided by Oxford University Press in its series OUP Catalogue with number 9780198568148 and published in 2005.
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- Julien Chevallier & Benoît Sévi, 2012.
"On the Stochastic Properties of Carbon Futures Prices,"
- Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
- Koulovatianos, Christos & Wieland, Volker, 2011.
"Asset Pricing under Rational Learning about Rare Disasters,"
CEPR Discussion Papers
8514, C.E.P.R. Discussion Papers.
- Volker Wieland & Christos Koulovatianos, 2011. "Asset Pricing under Rational Learning about Rare Disasters," 2011 Meeting Papers 1417, Society for Economic Dynamics.
- Koulovatianos, Christos & Wieland, Volker, 2011. "Asset pricing under rational learning about rare disasters," IMFS Working Paper Series 46, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
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