Weak Convergence of Financial Markets (Hardcover, 2003 ed.)

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.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Springer Finance
Release date:	May 2003
First published:	2003
Authors:	Jean-Luc Prigent
Dimensions:	235 x 155 x 25mm (L x W x T)
Format:	Hardcover
Pages:	424
Edition:	2003 ed.
ISBN-13:	978-3-540-42333-1
Categories:	Books > Business & Economics > Finance & accounting > Finance > General Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Books > Money & Finance > General Promotions
LSN:	3-540-42333-8
Barcode:	9783540423331

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!