Jeanblanc / Yor / Chesney Mathematical Methods for Financial Markets

1. Auflage 2009
ISBN: 978-1-84628-737-4
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 758 Seiten, eBook

Reihe: Springer Finance

Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes.The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.

Zielgruppe

Professional/practitioner

Autoren/Hrsg.

Jeanblanc, Monique

Yor, Marc

Chesney, Marc

Inhaltsverzeichnis

Continuous Path Processes.- Continuous-Path Random Processes: Mathematical Prerequisites.- Basic Concepts and Examples in Finance.- Hitting Times: A Mix of Mathematics and Finance.- Complements on Brownian Motion.- Complements on Continuous Path Processes.- A Special Family of Diffusions: Bessel Processes.- Jump Processes.- Default Risk: An Enlargement of Filtration Approach.- Poisson Processes and Ruin Theory.- General Processes: Mathematical Facts.- Mixed Processes.- Lévy Processes.