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Weak Convergence of Financial Markets on Hardback by Jean-Luc Prigent
Weak Convergence of Financial Markets on Hardback by Jean-Luc Prigent
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Description

A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems such as portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed.
Release date Australia
May 19th, 2003
Audience
  • Professional & Vocational
Illustrations
XIV, 424 p.
Pages
424
Dimensions
156x234x25
ISBN-13
9783540423331
Product ID
2494853

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