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Könyv Stochastic Calculus & Itô Processes in Quantitative Finance Helena K. Marwood

Stochastic Calculus & Itô Processes in Quantitative Finance

Pathwise Solutions, Malliavin Calculus, and High-Dimensional Applications

Szerző: Helena K. Marwood, Alice Schwartz
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: Independently published
Elérhetőség: Beszállítói készleten
Küldés 14-21 napon belül
14 504 Ft
Reactive PublishingThis book provides a rigorous and modern treatment of stochastic calculus and Itô...

Információk a könyvről

Szerző
Helena K. Marwood, Alice Schwartz
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2026
oldal
492
EAN
9798199651936
Enbook ID
52770054
Kiadó
Independently published
Súly
590
Méretek
152 x 229 x 31

Teljes leírás

Reactive Publishing

This book provides a rigorous and modern treatment of stochastic calculus and Itô processes with a focus on quantitative finance applications. It emphasizes pathwise solutions, Malliavin calculus, and techniques for high-dimensional problems.

The text develops the core theory of stochastic integration and differential equations, then progresses to advanced topics including pathwise approaches to stochastic analysis, Malliavin's stochastic calculus of variations, and methods suitable for high-dimensional financial modeling. Particular attention is given to the mathematical foundations required for derivative pricing, risk management, and Monte Carlo methods in complex market environments.

Key areas covered include:

  • Foundations of stochastic calculus and Itô processes
  • Pathwise solutions and rough path theory connections
  • Malliavin calculus and its applications to sensitivity analysis and stochastic optimization
  • High-dimensional stochastic modeling techniques relevant to modern quantitative finance
  • Numerical and theoretical tools for practical implementation

Written for graduate students, researchers, and quantitative professionals in finance and applied mathematics, this volume bridges classical stochastic analysis with contemporary challenges in quantitative finance. The presentation balances mathematical precision with financial relevance, making it suitable for both theoretical study and advanced modeling work.