Mathematics of the Bond Market A L?vy Processes Approach
Language: English
Published by Cambridge University Press, 2021
Series: Book 176 of 188 - Encyclopedia of Mathematics and its Applications
- Hardcover
- New
Condition: New
£ 186.55
Quantity: 2 available
Add to basketItem description from seller
Mathematical models of bond markets are of interest to researchers working in applied mathematics, especially in mathematical finance. This book concerns bond market models in which random elements are represented by L?vy processes. These are more flexible than classical models and are well suited to describing prices quoted in a discontinuous fashion. The book's key aims are to characterize bond markets that are free of arbitrage and to analyze their completeness. Nonlinear stochastic partial differential equations (SPDEs) are an important tool in the analysis. The authors begin with a relatively elementary analysis in discrete time, suitable for readers who are not familiar with finance or continuous time stochastic analysis. The book should be of interest to mathematicians, in particular to probabilists, who wish to learn the theory of the bond market and to be exposed to attractive open mathematical problems. Sprache: Englisch Gewicht in Gramm: 790.
Seller Inventory # IB-8943103
- Title
- Mathematics of the Bond Market A L?vy Processes Approach
- Author
- Jerzy Zabczyk, Micha? Barski
- Publisher
- Cambridge University Press
- Publication year
- 2021
- Condition
- Neu
- Binding
- Gebundene Ausgabe
- Language
- English
- ISBN 10
- 1107101298
- ISBN 13
- 9781107101296
- Item weight
- 790 grams
- Series
- Book 176 of 188: Encyclopedia of Mathematics and its Applications
"Synopsis" may belong to another edition of this title.
About the Author
Jerzy Zabczyk is Professor Emeritus in the Institute of Mathematics at the Polish Academy of Sciences. His research interests include stochastic processes, evolution equations, control theory and mathematical finance. He published over ninety research papers. He is the author or co-author of seven books including Stochastic Equations in Infinite Dimensions (Cambridge, 1992, 2008, 2014), Stochastic Partial Differential Equations with Lévy Noise (Cambridge, 2007) and Mathematical Control Theory: An Introduction (1992, 1996, 2020).
"About the title" may belong to another edition of this title.
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