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Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with...
Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach deals with continuous-time risk models and covers several aspects of risk theory. The first of them is the smoothness of the survival probabilities. In particular, the book provides a detailed...
Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for...
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