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25 Remote Warehouse Mathematics- Applied

This title in other editions

Mathematical Methods for Financial Markets

by

Mathematical Methods for Financial Markets Cover

 

Synopses & Reviews

Publisher Comments:

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 Lévy 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.

Synopsis:

Stochastic processes of common use in mathematical finance are presented in this book, which interlaces financial concepts and instruments such as arbitrage opportunities, option pricing and default risk with Brownian motion and Lévy and diffusion processes.

Table of 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. Lévy Processes.- Appendices.- References.- Index

Product Details

ISBN:
9781447125242
Author:
Jeanblanc, Monique
Publisher:
Springer
Author:
Chesney, Marc
Author:
Yor, Marc
Subject:
Mathematics-Applied
Subject:
Game Theory
Subject:
Bessel processes
Subject:
Finance
Subject:
Jump-diffusion Processes
Subject:
Mathematical finance
Subject:
Option Pricing
Subject:
Probability Theory.
Subject:
Stochastic processes
Subject:
Quantitative Finance
Subject:
Finance/Investment/Banking
Subject:
Probability Theory and Stochastic Processes
Subject:
Applied
Copyright:
Edition Description:
2009
Series:
Springer Finance / Springer Finance Textbooks
Publication Date:
20120304
Binding:
TRADE PAPER
Language:
English
Pages:
758
Dimensions:
235 x 155 mm 1128 gr

Related Subjects

Business » Accounting and Finance
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Mathematical Methods for Financial Markets New Trade Paper
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Product details 758 pages Springer - English 9781447125242 Reviews:
"Synopsis" by , Stochastic processes of common use in mathematical finance are presented in this book, which interlaces financial concepts and instruments such as arbitrage opportunities, option pricing and default risk with Brownian motion and Lévy and diffusion processes.
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