Mathematical methods for financial markets
 Responsibility
 Monique Jeanblanc, Marc Yor, Marc Chesney.
 Language
 English.
 Imprint
 Dordrecht ; New York : Springer, c2009.
 Physical description
 xxv, 732 p. : ill. ; 25 cm.
 Series
 Springer finance. Textbook.
Access
Available online
 dx.doi.org SpringerLink
Math & Statistics Library
Stacks
Call number  Status 

HG106 .J43 2009  Unknown 
More options
Creators/Contributors
 Author/Creator
 JeanblancPicqué, Monique, 1947
 Contributor
 Yor, Marc.
 Chesney, Marc.
Contents/Summary
 Bibliography
 Includes bibliographical references (p. 667714) and indexes.
 Contents

 Part I Continuous Path Processes. 1. Continuous Path Random Processes: Mathematical Prerequisites. 2. Basic Concepts and Examples in Finance. 3. Hitting Times: A Mix of Mathematics and Finance. 4. Complements on Brownian Motion. 5. Complements on Continuous Path Processes. 6. A Special Family of Diffusions: Bessel Processes. Part II: Jump Processes. 7. Default Risk: An Enlargement of Filtration Approach. 8. Poisson Processes and Ruin Theory. 9. General Processes: Mathematical Facts. 10. Mixed Processes. 11. Levy Processes. Appendices. References. Index.
 (source: Nielsen Book Data)9781852333768 20160527
 Publisher's Summary
 Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochastic processes, stochastic calculus and differential equations, among others, which can be daunting for the beginning researcher. 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 Levy processes. The authors proceed by successive generalisations with increasing complexity assuming some basic knowledge of probability theory. 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.
(source: Nielsen Book Data)9781852333768 20160527
Subjects
 Subject
 Finance > Mathematical models.
Bibliographic information
 Publication date
 2009
 Series
 Springer finance. Textbook
 ISBN
 9781852333768 (alk. paper)
 1852333766 (alk. paper)
 9781846287374 (ebk.)
 1846287375 (ebk.)