Continuous Stochastic Calculus with Applications to Finance

ISBN: 9781584882343 出版年：2000 页码：337 Meyer, Michael Chapman and Hall/CRC

MARTINGALE THEORY Covergence of Random Variables Conditioning Submartingales Convergence Theorems Optional Sampling of Closed Submartingale Sequences Maximal Inequalities for Submartingale Sequences Continuous Time Martingales Local Martingales Quadratic Variation The Covariation Process Semimartingales BROWNIAN MOTION Gaussian Process One Dimensional Brownian Motion STOCHASTIC INTEGRATION Measurability Properties of Stochastic Processes Stochastic Integration with Respect to Continuous Semimartingales Ito's Formula Change of Measure Representation of Continuous Local Martingales Miscellaneous APPLICATION TO FINANCE The Simple Black Scholes Market Pricing of Contingent Claims The General Market Model Pricing of Random Payoffs at Fixed Future Dates Interest Rate Derivatives APPENDIX Separation of Convex Sets The Basic Extension Procedure Positive Semidefinite Matrices Kolmogoroff Existence Theorem