Overview

Stochastic processes of common use in Mathematical finance are presented throughout the book, which consists of eleven chapters, interlacing on one hand financial concepts and instruments, such as arbitrage opportunities, admissible strategies, contingent claims, option pricing, default risk, ruin, and on the other hand, Brownian motion, diffusion processes, Levy processes, together with the basic properties of these processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes.Only basic knowledge of probability theory is assumed; the book is organized so that the mathematical facts pertaining to a given financial question are gathered close to the study of that question.

Full Product Details

Author:   Monique Jeanblanc ,  Marc Yor ,  Marc Chesney
Publisher:   Springer London Ltd
Imprint:   Springer London Ltd
Edition:   2009 ed.
Dimensions:   Width: 15.50cm , Height: 3.90cm , Length: 23.50cm
Weight:   1.298kg
ISBN:  

9781852333768

ISBN 10:   1852333766
Pages:   732
Publication Date:   13 October 2009
Audience:   Professional and scholarly ,  Professional and scholarly ,  Professional & Vocational ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

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Reviews

From the reviews: The aim of this book is to explain the fundamental concepts of continuous-time finance ! . This text presents an up-to-date account of the powerful interplay between the two areas, which is accessible yet mathematically rigorous. ! This book is an accessible overview of the relevant sophisticated topics in the theory of processes, serves as an excellent guide through the literature and will doubtless become established as a standard work of reference for practitioners and researchers in the area of mathematical finance. (Aleksandar MijatoviAa, Mathematical Reviews, Issue 2011 h)

From the reviews: Mathematical Methods for Financial Markets provides a comprehensive overview of mathematical research inspired by financial markets, primarily derivative-securities markets. ... Mathematicians interested in finance who are trained in the theory of stochastic processes can find much of interest here. (John Curran, MAA Reviews, July, 2013) The goal of the authors is to present the financial methodology and the relevant tools from mathematical stochastics. ... book is well structured and carefully written. The text is smooth and clear. ... book should be read, used and referred to on any occasion. ... a source of real intellectual pleasure and inspiration for further work. The book will be useful for a wide audience, from graduate and postgraduate students to researchers in stochastics and finance, as well as to applied scientists in other areas. (Jordan M. Stoyanov, Zentralblatt MATH, Vol. 1205, 2011) The aim of this book is to explain the fundamental concepts of continuous-time finance ... . This text presents an up-to-date account of the powerful interplay between the two areas, which is accessible yet mathematically rigorous. ... This book is an accessible overview of the relevant sophisticated topics in the theory of processes, serves as an excellent guide through the literature and will doubtless become established as a standard work of reference for practitioners and researchers in the area of mathematical finance. (Aleksandar Mijatovic, Mathematical Reviews, Issue 2011 h) Mathematical Methods for Financial Markets succeeds to be both an excellent finance textbook and an excellent maths textbook. ... the work examined here is an excellent reading, going well beyond the Hull, that should be advised to all serious students in quantitative finance, and perhaps to a few colleagues who would want to enlarge their filtration about this topic. This is a prodigious encyclopaedia designed by the best authors in the field. (Olivier Le Courtois, Revue de l'Association Francaise de Finance, Vol. 31 (1), 2010)

From the reviews: The aim of this book is to explain the fundamental concepts of continuous-time finance ! . This text presents an up-to-date account of the powerful interplay between the two areas, which is accessible yet mathematically rigorous. ! This book is an accessible overview of the relevant sophisticated topics in the theory of processes, serves as an excellent guide through the literature and will doubtless become established as a standard work of reference for practitioners and researchers in the area of mathematical finance. (Aleksandar Mijatovic, Mathematical Reviews, Issue 2011 h)

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