A Course of Stochastic Analysis
$126.98
- Hardcover
292 pages
- Release Date
2 June 2026
Summary
This thoroughly updated second edition offers a unified, modern pathway from the Kolmogorov foundations of probability to the tools of stochastic calculus—and on to applications in finance, statistics, and risk. With clarity and breadth, it develops martingale and semimartingale theory alongside stochastic differential equations, keeping both discrete- and continuous-time viewpoints in play.
What’s new in the 2nd Edition
- Optional Stochastic Analysis on n…
Book Details
| ISBN-13: | 9783032204813 |
|---|---|
| ISBN-10: | 303220481X |
| Author: | Alexander Melnikov |
| Publisher: | Springer Nature Switzerland AG |
| Imprint: | Springer Nature Switzerland AG |
| Format: | Hardcover |
| Number of Pages: | 292 |
| Release Date: | 2 June 2026 |
| Dimensions: | 155mm x 235mm |
| Series: | CMS/CAIMS Books in Mathematics |
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Alexander Melnikov
Alexander Melnikov is a professor at the University of Alberta working in stochastic analysis and its applications in finance, statistics, and insurance. He is the author of nine books and about one hundred fifty papers in leading academic journals and venues. He is a fellow of the Russian Academy of Natural Sciences, a recipient of the Leontiev medal of this academy and the McCalla Professorship of the University of Alberta. In addition to his academic engagements, he held several senior positions in business and professional organizations: chief-scientist at Risk-Invest Deutschland (Frankfurt), vice-president of the Russian Society of Actuaries, deputy director at the Center for Actuarial and Financial Studies (Moscow), and senior research consultant at the Model Capital Management (Boston).
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