2 Ergebnisse.

This book gives a comprehensive introduction to some modern problems of stochastic differential equations and its applications. The content can be divided into four primary parts.1) Generalization of standard growth condition of the diffusion coefficient of Ito equations.2) Two parametric Ito formula and Stochastic Goursat problem, 3) Cauchy problem for linear and nonlinear stochastic equations of the parabolic type. 4) Applications. Latter pa...

There are several distinctions between this book and others. The primary distinction is that we developed derivatives pricing which could not be reduced to Black-Scholes benchmark. Other distinction we do not used either expected or present value reduction standards to present equality two cash flows generated by derivative instruments. Our approach in pricing derivatives is based on the equal investment principle applied for each admissible s...