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Stochastic Integration Theory

Author

Listed:
  • Medvegyev, Peter

    (Budapest University of Economic Sciences)

Abstract

This graduate level text covers the theory of stochastic integration, an important area of Mathematics that has a wide range of applications, including financial mathematics and signal processing. Aimed at graduate students in Mathematics, Statistics, Probability, Mathematical Finance, and Economics, the book not only covers the theory of the stochastic integral in great depth but also presents the associated theory (martingales, Levy processes) and important examples (Brownian motion, Poisson process).

Suggested Citation

  • Medvegyev, Peter, 2007. "Stochastic Integration Theory," OUP Catalogue, Oxford University Press, number 9780199215256.
    • Handle: RePEc:oxp:obooks:9780199215256
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    Citations

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    Cited by:

    1. Badics, Tamás, 2011. "Az arbitrázs preferenciákkal történő karakterizációjáról [On the characterization of arbitrage in terms of preferences]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 727-742.
    2. Nicolas Merener, 2012. "Swap rate variance swaps," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 249-261, May.
    3. Guo, Xin & Pham, Huyên & Wei, Xiaoli, 2023. "Itô’s formula for flows of measures on semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 159(C), pages 350-390.
    4. Valjarević, Dragana & Petrović, Ljiljana, 2012. "Statistical causality and orthogonality of local martingales," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1326-1330.
    5. Masaaki Fujii & Masashi Sekine, 2024. "Mean Field Equilibrium Asset Pricing Model with Habit Formation," CIRJE F-Series CIRJE-F-1229, CIRJE, Faculty of Economics, University of Tokyo.
    6. Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
    7. Júlia Király & Márton Nagy & Viktor E. Szabó, 2008. "Contagion and the beginning of the crisis – pre-Lehman period," MNB Occasional Papers 2008/76, Magyar Nemzeti Bank (Central Bank of Hungary).
    8. Misumi, Takashi & 三隅, 隆司 & Nakamura, Hisashi & 中村, 恒 & Takaoka, Koichiro & 高岡, 浩一郎, 2014. "Moral-Hazard Premium," Working Paper Series G-1-7, Hitotsubashi University Center for Financial Research.
    9. Masaaki Fujii & Masashi Sekine, 2024. "Mean field equilibrium asset pricing model with habit formation," Papers 2406.02155, arXiv.org.
    10. Király, Júlia & Nagy, Márton & Szabó E., Viktor, 2008. "Egy különleges eseménysorozat elemzése - a másodrendű jelzáloghitel-piaci válság és (hazai) következményei [Analysis of a special sequence of events - the crisis on the secondary mortgage market an," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 573-621.
    11. Misumi, Takashi & 三隅, 隆司 & Nakamura, Hisashi & 中村, 恒 & Takaoka, Koichiro & 髙岡, 浩一郎, 2013. "Optimal Risk Sharing in the Presence of Moral Hazard under Market Risk and Jump Risk," Working Paper Series G-1-4, Hitotsubashi University Center for Financial Research.
    12. Masaaki Fujii & Masashi Sekine, 2024. "Mean field equilibrium asset pricing model with habit formation," CARF F-Series CARF-F-587, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    13. Péter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
    14. C. A. Fonseca-Mora, 2020. "Lévy Processes and Infinitely Divisible Measures in the Dual of a Nuclear Space," Journal of Theoretical Probability, Springer, vol. 33(2), pages 649-691, June.
    15. Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Nov 2018.
    16. Anita Behme & Alexander Lindner, 2015. "On Exponential Functionals of Lévy Processes," Journal of Theoretical Probability, Springer, vol. 28(2), pages 681-720, June.

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