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philip protter publications books curriculum vitae home professor protter's primary research interests include mathematical finance (capital asset pricing theory, the pricing and hedging of derivatives, liquidity issues, financial bubbles, insider trading, high frequency trading, and credit risk), stochastic
integration theory, stochastic differential equation theory, numerical solutions of stochastic differential equations, discretization of stochastic processes (as a branch of mathematical statistics), backward and forward-backwards stochastic differential equations, markov process theory, and filtering...
http://www.stat.columbia.edu/~protter/