Springer Finance

By: Jean-Luc Prigent

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Hardcover | 19 May 2003

At a Glance

Hardcover
444 Pages

Dimensions(cm)
24.77 x 16.51 x 1.27

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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.

Industry Reviews

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"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)

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You Can Find This Book In

Non-Fiction Mathematics Applied Mathematics Stochastics Calculus & Mathematical Analysis Functional Analysis & Transforms Accounting & Finance Accounting Economics Finance Public Accounting in Finance Tax & Taxation

Optimisation Game Theory

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Paperback

Published: 21st October 2010

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Weak Convergence of Stochastic Processes	p. 1
Basic Properties of Stochastic Processes	p. 2
Weak Convergence	p. 64
Weak Convergence to a Semimartingale	p. 75
Weak Convergence of Stochastic Integrals	p. 100
Limit Theorems, Density Processes and Contiguity	p. 108
Weak Convergence of Financial Markets	p. 129
Convergence of Optimal Consumption-Portfolio Strategies	p. 130
Convergence of Options Prices	p. 185
Convergence of Hedging Strategies	p. 240
The Basic Models of Approximations	p. 267
General Remarks	p. 267
Lattice	p. 274
Alternative Approximations	p. 309
Approximations of Term Structure Models	p. 371
Index	p. 419
Table of Contents provided by Blackwell. All Rights Reserved.

Springer Finance

At a Glance

Hardcover

Industry Reviews

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How to return your order

Defective items

You Can Find This Book In

Other Editions and Formats

Paperback

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