Mathematical methods for financial markets
 Author/Creator
 JeanblancPicqué, Monique, 1947
 Language
 English.
 Imprint
 Dordrecht ; New York : Springer, c2009.
 Physical description
 xxv, 732 p. : ill. ; 25 cm.
 Series
 Springer finance. Textbook.
Access
Contributors
 Contributor
 Yor, Marc.
 Chesney, Marc.
Contents/Summary
 Bibliography
 Includes bibliographical references (p. 667714) and indexes.
 Contents

 Continuous Path Processes. ContinuousPath 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. Levy Processes.
 (source: Nielsen Book Data)
 Publisher's Summary
 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 Levy 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.
(source: Nielsen Book Data)
Subjects
 Subject
 Finance > Mathematical models.
Bibliographic information
 Publication date
 2009
 Responsibility
 Monique Jeanblanc, Marc Yor, Marc Chesney.
 Series
 Springer finance. Textbook
 ISBN
 9781852333768 (alk. paper)
 1852333766 (alk. paper)
 9781846287374 (ebk.)
 1846287375 (ebk.)