Mathematics of the Bond Market - A Levy Processes Approach (Hardcover)

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.

General

Imprint:	Cambridge UniversityPress
Country of origin:	United Kingdom
Series:	Encyclopedia of Mathematics and its Applications
Release date:	April 2020
Authors:	Michal Barski • Jerzy Zabczyk
Dimensions:	241 x 160 x 26mm (L x W x T)
Format:	Hardcover
Pages:	398
ISBN-13:	978-1-107-10129-6
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Finance & accounting > Finance > General Books > Money & Finance > General Promotions
LSN:	1-107-10129-8
Barcode:	9781107101296

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