Springer Finance

Weak Convergence of Financial Markets

Authors: Prigent, Jean-Luc

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  • ISBN 978-3-540-24831-6
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Hardcover $219.99
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  • ISBN 978-3-540-42333-1
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Softcover $219.99
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  • ISBN 978-3-642-07611-4
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About this book

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.

Reviews

From the reviews:

"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 third part deals with lattice- and tree-based computational procedures for option pricing … . Includes detailed examples." (www.mathfinance.de, November, 2003)

"The book recalls techniques and results of weak convergence of stochastic processes in mathematical finance and covers a wide range of applications. … For readers very well acquainted with the material, it may serve as a good reference book on the subject." (F. Esche, Short Book Reviews, Vol. 24 (1), 2004)


Table of contents (3 chapters)

Table of contents (3 chapters)

Buy this book

eBook $169.00
price for USA in USD (gross)
  • ISBN 978-3-540-24831-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $219.99
price for USA in USD
  • ISBN 978-3-540-42333-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $219.99
price for USA in USD
  • ISBN 978-3-642-07611-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Weak Convergence of Financial Markets
Authors
Series Title
Springer Finance
Copyright
2003
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-24831-6
DOI
10.1007/978-3-540-24831-6
Hardcover ISBN
978-3-540-42333-1
Softcover ISBN
978-3-642-07611-4
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XIV, 424
Topics