Weak Convergence of Financial Markets
Language: English
Published by Springer, 2010
Series: Book 11 of 53 - Springer Finance
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 158.04
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Add to basketItem description from seller
Druck auf Anfrage Neuware - Printed after ordering - 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 such as 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.
Seller Inventory # 9783642076114
- Title
- Weak Convergence of Financial Markets
- Author
- Jean-Luc Prigent
- Publisher
- Springer
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3642076114
- ISBN 13
- 9783642076114
- Item weight
- 663 grams
- Dimensions
- 235x155x24 mm
- Series
- Book 11 of 53: Springer Finance
"Synopsis" may belong to another edition of this title.
Review
From the reviews:
"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 third part deals with lattice- and tree-based computational procedures for option pricing ... . Includes detailed examples." (www.mathfinance.de, November, 2003)
"The book recalls techniques and results of weak convergence of stochastic processes in mathematical finance and covers a wide range of applications. ... For readers very well acquainted with the material, it may serve as a good reference book on the subject." (F. Esche, Short Book Reviews, Vol. 24 (1), 2004)
"About the title" may belong to another edition of this title.
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