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 Nonstandard methods in stochastics. Nonstandard stochastics and applications to mathematical finance
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Nonstandard methods in stochastics. Nonstandard stochastics and applications to mathematical finance

автор Lisa S. издательство Книга по Требованию Информационные технологии в экономике
Cтраниц 60        мягкая обложка       
Аннотация:The first chapter of this thesis is concerned with measure and probability theory from a Nonstandard Analysis point of view. First we look at European call options in the Cox Ross- Rubinstein model and in the Black-Scholes model. Then we apply these results to the Brownian Motion and show that the Brownian Motion can be obtained as an infinitesimal random walk. Then we introduce the hyperfinite Cox-Ross- Rubinstein model, where we use random walks with infinitesimal time steps. The second part of the first chapter is about internal measure spaces. Then we show that the Black- Scholes model is precisely the standard part of the hyperfinite Cox-Ross-Rubinstein model. In the next part we show for a big class of functions and processes on probability spaces in the nonstandard universe that they in a certain sense correspond to standard entities. First we give an overview of general facts in Nonstandard Analysis. The hyperfinite Cox-Ross- Rubinstein model extends the ordinary Cox-Ross- Rubinstein model and inherits many of its properties. In the second chapter we give some applications of nonstandard stochastics in mathematical finance.
Автор: Lisa S.
Издательство: Книга по Требованию
Год:2011
Цена:
1922 руб
Нет в наличии
Поиск: Nonstandard methods in stochastics. Nonstandard stochastics and applications to mathematical finance
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
Ортомолекулярная медицина Orthomol Устрание причин заболеваний. Ортомоль это новый метод для лечения и профилактики болезней. Orthomol - ортомолекулярная медицина.
Russia and the international economy

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