Ioannis Karatzas Forfatter
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Brownian Motion and Stochastic Calculus (Bog, Paperback / softback, Engelsk)This book is designed as a text for graduate courses in stochastic processes. This book contains a detailed discussion of weak and strong solutions of stochastic... Læs mere
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Methods of Mathematical Finance (Bog, Hardback, Engelsk)This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices.
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Stochastic Processes and Related Topics: In Memory of Stamatis Cambanis 1943-1995 (Bog, Hardback, Engelsk)Concerned with stable processes and other infinitely divisible models this volume collates articles covering a range of related topics. Issues covered include: results in heavy-tailed processes, the central limit problem; and comparison and deviation problems.
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