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Mathematics of the Bond Market - A Levy Processes Approach (Hardcover)
Loot Price: R3,662
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Mathematics of the Bond Market - A Levy Processes Approach (Hardcover)
Series: Encyclopedia of Mathematics and its Applications
Expected to ship within 12 - 17 working days
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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 Levy 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.
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