Bachelier (1900), first proposed that financial markets follow a random walk which can be modeled by standard probability calculus. In the simplest terms, a random walk is essentially a Brownian motion (BM) where the previous change in the value of a variable is unrelated to future or past ...
Fractional Brownian motion in finance We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applications to financial markets where the prices are described as solutions of stochastic differential equations driven by such processes. B. ksendal - Springer London ...
Brownian motion is currently a hot topic in mathematics Karatzas is one of the leaders in the field of stochastics and finance Part of the book series: Graduate Texts in Mathematics (GTM, volume 113) 137k Accesses 1173 Citations 29 Altmetric This...
摘要: This article explains the history and mathematics of Brownian motion.关键词: Brownian motion heat equation Kolmogorov’s formulation of probability random walk Wiener integral stochastic differential equations financial mathematics DOI: 10.1007/s12045-020-1107-7 年份: 2021 ...
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of special functional of geometric Brownian motion using the squared ...
This book provides a short introduction to the subject with examples of its use in mathematical finance e.g pricing of derivatives. Wiersma assumes only a b... (展开全部) 喜欢读"Brownian Motion Calculus"的人也喜欢 ··· An Introduction to Stochastic Proce... 微分方程、动力系统与混沌导论...
Since then, the concept of an unpredictable and random trajectory has been utilized in numerous fields including financial mathematics in the modeling of stock behaviour [5]. 展开 关键词: Brownian Motion Stochastic Calculus Stochastic Differential Equation Stocks Itô Integral ...
Graduate Texts in Mathematics(共230册),这套丛书还有 《Theory of Bergman Spaces》《Random Walk, Brownian Motion, and Martingales》《Classical Topology and Combinatorial Group Theory》《Introduction to Smooth Manifolds》《An Introduction to Algebraic Topology》等。 喜欢读"Brownian Motion and Stochastic ...
丛书系列:Graduate Texts in Mathematics图书标签: 数学 金融 金融数学 金融工程 Mathematics 统计学 quant Probability Brownian Motion and Stochastic Calculus 2024 pdf epub mobi 电子书 图书描述 A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes,...
While Bachelier's paper was largely ignored by academics for many decades, his work now stands as the innovative first step in a mathematical theory of stock markets that has greatly altered the financial world of today. Later in this chapter, we will have much to say about Brownian motion ...