Mathematical Methods for Financial Markets

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Sprache: Englisch

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Beschreibung

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.

Zusammenfassung

Unlike other texts available in the field, this book is written to be accessible to both mathematicians and practitioners

Rather than provide full proofs throughout, the authors give the essence of the argument and then refer readers to the literature whenever the discussion might become too technical.

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.

Details

Erscheinungsjahr:	2009
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Inhalt:	xxvi 732 S. 9 s/w Illustr. 732 p. 9 illus.
ISBN-13:	9781852333768
ISBN-10:	1852333766
Sprache:	Englisch
Herstellernummer:	10681997
Einband:	Gebunden
Autor:	Jeanblanc, Monique Chesney, Marc Yor, Marc
Hersteller:	Springer London Springer-Verlag London Ltd.
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	241 x 160 x 46 mm
Von/Mit:	Monique Jeanblanc (u. a.)
Erscheinungsdatum:	13.10.2009
Gewicht:	1,291 kg