Point Processes and Jump Diffusions: An Introduction with Finance Applications - Hardcover

Björk, Tomas

 
9781316518670: Point Processes and Jump Diffusions: An Introduction with Finance Applications
Hardcover
ISBN 10: 1316518671 ISBN 13: 9781316518670
Publisher: Cambridge University Press, 2021

Synopsis

Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.

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About the Author

Tomas Björk is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics and previously worked at the Mathematics Department of the Royal Institute of Technology, Stockholm. Björk has been co-editor of Mathematical Finance, on the editorial board for Finance and Stochastics and several other journals, and was President of the Bachelier Finance Society. He is particularly known for his research on point-process-driven forward-rate models, finite-dimensional realizations of infinite dimensional SDEs, and time-inconsistent control theory. He is the author of the well-known textbook Arbitrage Theory in Continuous Time (1998), now in its fourth edition.

"About this title" may belong to another edition of this title.

Publisher
Cambridge University Press
Publication date
2021
Language
English
ISBN 10 
1316518671
ISBN 13 
9781316518670
Binding
Hardcover
Number of pages
320