Simplified stochastic calculus with applications in economics and finance
Alternative title: | Finance without Brownian motions$dan introduction to simplified stochastic calculus |
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Year of publication: |
2021
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Authors: | Černý, Aleš ; Ruf, Johannes |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 293.2021, 2 (1.9.), p. 547-560
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Subject: | Drift | Émery formula | Girsanov's theorem | Simplified stochastic calculus | Stochastischer Prozess | Stochastic process | Experiment | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory |
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