Lévy Processes and Stochastic Calculus
| By: | David Applebaum |
| Publisher: | Cambridge University Press |
| Print ISBN: | 9780521832632 |
| eText ISBN: | 9780511207617 |
| Edition: | 1 |
| Format: | Page Fidelity |
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For the first time in a book, Applebaum ties Lévy processes and stochastic calculus together. All the tools needed for the stochastic approach to option pricing, including Itô's formula, Girsanov's theorem and the martingale representation theorem are described.