Verwandte Artikel zu Weak Convergence of Financial Markets (Springer Finance)

Weak Convergence of Financial Markets (Springer Finance) - Softcover

Buch 11 von 53: Springer Finance

Prigent, Jean-Luc

 
9783642076114: Weak Convergence of Financial Markets (Springer Finance)
Softcover
ISBN 10: 3642076114 ISBN 13: 9783642076114
Verlag: Springer, 2010

Inhaltsangabe

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.

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Verlag
Springer
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3642076114
ISBN 13 
9783642076114
Einband
Taschenbuch
Anzahl der Seiten
440
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