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Weak Convergence of Financial Markets

Weak Convergence of Financial Markets

Jean-Luc Prigent

47,13 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2012
Materia
Finanzas
ISBN:
9783642535017
47,13 €
IVA incluido
Disponible

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Sobre IBD

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.

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