Springer Finance
cover

Mathematical Finance

Authors: Eberlein, Ernst, Kallsen, Jan

  • Provides a gentle introduction to the calculus and control for stochastic processes with jumps
  • Covers Lévy and affine processes as well as their applications in financial modelling
  • Compares and explains the rationale behind different valuation and hedging concepts 
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Buy this book

eBook $79.99
price for USA in USD (gross)
  • The eBook version of this title will be available soon
  • Due: January 18, 2020
  • ISBN 978-3-030-26106-1
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover $139.99
price for USA in USD
  • Customers within the U.S. and Canada please contact Customer Service at +1-800-777-4643, Latin America please contact us at +1-212-460-1500 (24 hours a day, 7 days a week).
  • Due: December 21, 2019
  • ISBN 978-3-030-26105-4
  • Free shipping for individuals worldwide
About this book

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. 


About the authors

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. 


Buy this book

eBook $79.99
price for USA in USD (gross)
  • The eBook version of this title will be available soon
  • Due: January 18, 2020
  • ISBN 978-3-030-26106-1
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover $139.99
price for USA in USD
  • Customers within the U.S. and Canada please contact Customer Service at +1-800-777-4643, Latin America please contact us at +1-212-460-1500 (24 hours a day, 7 days a week).
  • Due: December 21, 2019
  • ISBN 978-3-030-26105-4
  • Free shipping for individuals worldwide
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Bibliographic Information

Bibliographic Information
Book Title
Mathematical Finance
Authors
Series Title
Springer Finance
Copyright
2019
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-26106-1
DOI
10.1007/978-3-030-26106-1
Hardcover ISBN
978-3-030-26105-4
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XVII, 768
Number of Illustrations
2 b/w illustrations, 32 illustrations in colour
Topics