Springer Finance Textbooks

Mathematical Methods for Financial Markets

Authors: Jeanblanc, Monique, Yor, Marc, Chesney, Marc

  • Unlike other texts available in the field, this book is written to be accessible to both mathematicians and practitioners
  • Rather than provide full proofs throughout, the authors give the essence of the argument and then refer readers to the literature whenever the discussion might become too technical.
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Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-1-84628-737-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $89.95
price for USA
  • ISBN 978-1-85233-376-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $89.95
price for USA
  • ISBN 978-1-4471-2524-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

Reviews

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 Mijatović, 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 Française de Finance, Vol. 31 (1), 2010)


Table of contents (11 chapters)

  • Continuous-Path Random Processes: Mathematical Prerequisites

    Jeanblanc, Monique (et al.)

    Pages 3-78

  • Basic Concepts and Examples in Finance

    Jeanblanc, Monique (et al.)

    Pages 79-134

  • Hitting Times: A Mix of Mathematics and Finance

    Jeanblanc, Monique (et al.)

    Pages 135-210

  • Complements on Brownian Motion

    Jeanblanc, Monique (et al.)

    Pages 211-258

  • Complements on Continuous Path Processes

    Jeanblanc, Monique (et al.)

    Pages 259-332

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-1-84628-737-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $89.95
price for USA
  • ISBN 978-1-85233-376-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $89.95
price for USA
  • ISBN 978-1-4471-2524-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Mathematical Methods for Financial Markets
Authors
Series Title
Springer Finance Textbooks
Copyright
2009
Publisher
Springer-Verlag London
Copyright Holder
Springer-Verlag London
eBook ISBN
978-1-84628-737-4
DOI
10.1007/978-1-84628-737-4
Hardcover ISBN
978-1-85233-376-8
Softcover ISBN
978-1-4471-2524-2
Edition Number
1
Number of Pages
XXVI, 732
Number of Illustrations and Tables
9 b/w illustrations
Topics