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Mathematical methods for financial markets / Monique Jeanblanc, Marc Yor, Marc Chesney.

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Author/Creator:
Jeanblanc-Picqué, Monique, 1947-
Language:
English.
Publication date:
2009
Imprint:
Dordrecht ; New York : Springer, c2009.
Format:
  • Book
  • xxv, 732 p. : ill. ; 25 cm.
Bibliography:
Includes bibliographical references (p. 667-714) and indexes.
Contents:
  • 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
  • Default risk : an enlargement of filtration approach
  • Poisson processes and ruin theory
  • General processes : mathematical facts
  • Mixed processes
  • Lévy processes
  • List of special features, probability laws, and functions
  • References. Some papers and books on specific subjects.
Contributor:
Yor, Marc.
Chesney, Marc.
Series:
Springer finance. Textbook.
Subjects:
ISBN:
9781852333768
1852333766
9781846287374
1846287375

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