Böcker av Alexander Melnikov

The main subject of the book is stochastic analysis and its various applications to mathematical finance and statistics of random processes. The main purpose of the book is to present, in a short and sufficiently self-contained form, the methods and results of the contemporary theory of stochastic analysis and to show how these methods and results work in mathematical finance and statistics of random processes. The book can be considered as a textbook for both senior undergraduate and graduate courses on this subject. The book can be helpful for undergraduate and graduate students, instructors and specialists on stochastic analysis and its applications.

The development of quantitative methods based on stochastic analysis is a key achievement of modern financial mathematics. This book presents an introduction to the main ideas, methods, and techniques that transform risk management into a quantitative science.