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Weak Convergence of Financial Markets

Jean-Luc Prigent
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      A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems, which include portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.
      Format: Hardback CONTRIBUTORS: Jean-Luc Prigent EAN: 9783540423331 COUNTRY: Germany PAGES: WEIGHT: 1760 g HEIGHT: 235 cm
      PUBLISHED BY: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG DATE PUBLISHED: 2003-05-19 CITY: GENRE: BUSINESS & ECONOMICS / Finance / General, BUSINESS & ECONOMICS / Public Finance, MATHEMATICS / Applied WIDTH: 155 cm SPINE:

      Book Themes:

      Economics, Finance, Business and Management, Finance and the finance industry, Civil service and public sector, Applied mathematics

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      A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems, which include portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.
      Format: Hardback CONTRIBUTORS: Jean-Luc Prigent EAN: 9783540423331 COUNTRY: Germany PAGES: WEIGHT: 1760 g HEIGHT: 235 cm
      PUBLISHED BY: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG DATE PUBLISHED: 2003-05-19 CITY: GENRE: BUSINESS & ECONOMICS / Finance / General, BUSINESS & ECONOMICS / Public Finance, MATHEMATICS / Applied WIDTH: 155 cm SPINE:

      Book Themes:

      Economics, Finance, Business and Management, Finance and the finance industry, Civil service and public sector, Applied mathematics

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      Be the first to write a review
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