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Mathematical Methods for Financial Markets


Jeanblanc, Monique; Yor, Marc; Chesney, Marc (2009). Mathematical Methods for Financial Markets. Heidelberg: Springer.

Abstract

Stochastic processes of common use in mathematical finance are presented throughout this book, which consists of eleven chapters, interlacing on the one hand financial concepts and instruments, such as arbitrage opportunities, admissible strategies, contingent claims, option pricing, default risk, ruin, and on the other hand, Brownian motion, diffusion processes, Lévy processes, together with the basic properties of these processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes.

Only basic knowledge of probability theory is assumed; the book is organized so that the mathematical facts pertaining to a given financial question are gathered close to the study of that question.

Abstract

Stochastic processes of common use in mathematical finance are presented throughout this book, which consists of eleven chapters, interlacing on the one hand financial concepts and instruments, such as arbitrage opportunities, admissible strategies, contingent claims, option pricing, default risk, ruin, and on the other hand, Brownian motion, diffusion processes, Lévy processes, together with the basic properties of these processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes.

Only basic knowledge of probability theory is assumed; the book is organized so that the mathematical facts pertaining to a given financial question are gathered close to the study of that question.

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Additional indexing

Item Type:Monograph
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:June 2009
Deposited On:19 Feb 2009 12:15
Last Modified:10 Aug 2017 20:27
Publisher:Springer
Series Name:Springer Finance
Number of Pages:755
ISBN:978-1-85233-376-8
Publisher DOI:https://doi.org/10.1007/978-1-84628-737-4
Official URL:http://www.springer.com/math/quantitative+finance/book/978-1-85233-376-8

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