Change Of Time And Change Of Measure by Ole E Barndorff-Nielsen

Change Of Time And Change Of Measure by Ole E Barndorff-Nielsen

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.

SKU	Unavailable
ISBN 13	9789814324472
ISBN 10	9814324477
Title	Change Of Time And Change Of Measure
Author	Ole E Barndorff-Nielsen
Series	Advanced Series On Statistical Science And Applied Probability
Condition	Unavailable
Publisher	World Scientific Publishing Co Pte Ltd
Year published	2010-11-09
Number of pages	324
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.