Overview
Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.
Full Product Details
Author: Ernst Eberlein ,
Jan Kallsen
Publisher: Springer Nature Switzerland AG
Imprint: Springer Nature Switzerland AG
Edition: 1st ed. 2019
Weight: 1.193kg
ISBN: 9783030261085
ISBN 10: 3030261085
Pages: 772
Publication Date: 21 December 2020
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
“This masterpiece on mathematical finance is written by two leading authorities in the field. It provides an excellent treatment of important topics in mathematical finance. … A nice feature of the monograph is that the intuitions and practical motivations of theories, methods and models are well explained. … Another nice feature of the monograph is that problems or exercises are provided in each of the chapters. A chapter-by-chapter review of the monograph is presented in the sequel.” (Tak Kuen Siu, zbMATH 1452.91001, 2021)
This masterpiece on mathematical finance is written by two leading authorities in the field. It provides an excellent treatment of important topics in mathematical finance. The monograph discusses some fundamental issues including arbitrage theory, valuation, hedging, optimal portfolio selection and interest rate models. ... A nice feature of the monograph is that the intuitions and practical motivations of theories, methods and models are well explained. (Tak Kuen Siu, zbMATH 1452.91001, 2021)
This masterpiece on mathematical finance is written by two leading authorities in the field. It provides an excellent treatment of important topics in mathematical finance. ... A nice feature of the monograph is that the intuitions and practical motivations of theories, methods and models are well explained. ... Another nice feature of the monograph is that problems or exercises are provided in each of the chapters. A chapter-by-chapter review of the monograph is presented in the sequel. (Tak Kuen Siu, zbMATH 1452.91001, 2021)
Author Information
Ernst Eberlein is professor emeritus at the University of Freiburg. After studying mathematics and physics at the universities of Erlangen and Paris, he received a Dr. rer. nat. at the University of Erlangen-Nürnberg and his habilitation in mathematics from ETH Zürich. For a period of ten years he served as Executive Secretary of the Bachelier Finance Society. From 2006 to 2013 he acted as co-editor of the journal Mathematical Finance. Jan Kallsen is professor of mathematics at Kiel University. Having studied Mathematics and Physics in Kiel, Freiburg, Boston and Vienna, he received a Dr. rer. nat. and his habilitation from the University of Freiburg. Before coming to Kiel he held a position as professor of Mathematical Finance at the Technical University of Munich.
