Levy Processes and Stochastic Calculus

Cambridge Studies in Advanced Mathematics #116

by David Applebaum

Levy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. David Applebaum connects the two subjects together in this monograph. After an introduction to the general theory of Levy processes, he accessibly develops the stochastic calculus for Levy processes. All the tools needed for the stochastic approach to option pricing, including Ito's formula, Girsanov's theorem and the martingale representation theorem, are described.

Genres: Mathematics

408 pages, Hardcover

First published July 5, 2004