Weak Convergence of Financial Markets / Edition 1

Weak Convergence of Financial Markets / Edition 1

by Jean-Luc Prigent
     
 

ISBN-10: 3642076114

ISBN-13: 9783642076114

Pub. Date: 12/15/2010

Publisher: Springer Berlin Heidelberg

A comprehensive overview of weak convergence of shastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of shastic processes and shastic calculus with special emphasis on contiguity properties and weak convergence of shastic integrals. The second part is devoted to the analysis of financial

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Overview

A comprehensive overview of weak convergence of shastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of shastic processes and shastic calculus with special emphasis on contiguity properties and weak convergence of shastic 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 sks and shastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.

Product Details

ISBN-13:
9783642076114
Publisher:
Springer Berlin Heidelberg
Publication date:
12/15/2010
Series:
Springer Finance Series
Edition description:
Softcover reprint of hardcover 1st ed. 2003
Pages:
424
Product dimensions:
6.10(w) x 9.25(h) x 0.04(d)

Table of Contents

1. Weak Convergence of Shastic Processes.- 2. Weak Convergence of Financial Markets.- 3. The Basic Models of Approximations.

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