Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Image from Google Jackets

Change of time and change of measure / Ole E. Barndorff-Nielsen and Albert Shiryaev.

By: Contributor(s): Material type: TextTextSeries: Advanced series on statistical science and applied probability ; v 21.Publication details: Singapore : World Scientific, ©2015.Edition: 2nd edDescription: xviii, 326 p. ; 24 cmISBN:
  • 9789814678582 (hardcover : alk. paper)
Subject(s): DDC classification:
  • 519.23 23 B259
Contents:
1. Random Change of Time; 2. Integral Representations and Change of Time in Stochastic Integrals; 3. Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis; 4. Stochastic Exponential and Stochastic Logarithm. Cumulant Processes; 5. Processes with Independent Increments. Levy Processes; 6. Change of Measure. General Facts; 7. Change of Measure in Models Based on Levy Processes; 8. Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes; 9. Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case; 10. Martingale Measures in the Stochastic Theory of Arbitrage; 11. Change of Measure in Option Pricing; 12. Conditionally Brownian and Levy Processes. Stochastic Volatility Models; 13. A Wider View. Ambit Processes and Fields, and Volatility/Intermittency;
Summary: 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.
Tags from this library: No tags from this library for this title. Log in to add tags.
Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 519.23 B259 (Browse shelf(Opens below)) Available 136994
Total holds: 0

Includes bibliographical references and index.

1. Random Change of Time;
2. Integral Representations and Change of Time in Stochastic Integrals;
3. Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis;
4. Stochastic Exponential and Stochastic Logarithm. Cumulant Processes;
5. Processes with Independent Increments. Levy Processes; 6. Change of Measure. General Facts;
7. Change of Measure in Models Based on Levy Processes;
8. Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes;
9. Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case;
10. Martingale Measures in the Stochastic Theory of Arbitrage; 11. Change of Measure in Option Pricing;
12. Conditionally Brownian and Levy Processes. Stochastic Volatility Models;
13. A Wider View. Ambit Processes and Fields, and Volatility/Intermittency;

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.

There are no comments on this title.

to post a comment.
Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in