Probability Theory II

Stochastic Calculus

von

Pascucci, Andrea

BuchPaperback

Verkaufsrang697inMathematik

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Produktinformationen

This book offers a modern approach to the theory of continuous-time stochastic processes and stochastic calculus.

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ISBN/GTIN978-3-031-63192-4

ProduktartBuch

EinbandPaperback

VerlagSpringer

Erscheinungsdatum06.10.2024

Auflage2024

ReiheLa Matematica per il 3+2

Reihen-Nr.166

Seiten448 Seiten

SpracheEnglisch

MasseBreite 155 mm, Höhe 235 mm, Dicke 23 mm

Gewicht756 g

WarengruppeNaturwissenschaft

KategorieMathematik

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Über die Autorin/den Autor

Pascucci, Andrea

Andrea Pascucci is a professor of Probability and Mathematical Statistics at the Alma Mater Studiorum - University of Bologna. His research activity encompasses various aspects of the theory of stochastic differential equations for diffusions and jump processes, degenerate partial differential equations, and their applications to mathematical finance. He has authored 6 books and over 80 scientific articles on the following topics: linear and nonlinear Kolmogorov-Fokker-Planck equations; regularity and asymptotic estimates of transition densities for multidimensional diffusions and jump processes; free boundary problems, optimal stopping, and applications to American-style financial derivatives; Asian options and volatility models. He has been invited as a speaker at more than 40 international conferences. He serves as an editor for the Journal of Computational Finance and is the director of a postgraduate program in Mathematical Finance at the University of Bologna.