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Titlebook: Mathematical Methods for Financial Markets; Monique Jeanblanc,Marc Yor,Marc Chesney Textbook 2009 Springer-Verlag London Ltd. 2009 Bessel

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发表于 2025-3-21 16:06:15 | 显示全部楼层 |阅读模式
书目名称Mathematical Methods for Financial Markets
编辑Monique Jeanblanc,Marc Yor,Marc Chesney
视频video
概述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 th
丛书名称Springer Finance
图书封面Titlebook: Mathematical Methods for Financial Markets;  Monique Jeanblanc,Marc Yor,Marc Chesney Textbook 2009 Springer-Verlag London Ltd. 2009 Bessel
描述.Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. 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 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..
出版日期Textbook 2009
关键词Bessel processes; Finance; Financial Market; Financial Markets; Jump-diffusion Processes; Mathematical Fi
版次1
doihttps://doi.org/10.1007/978-1-84628-737-4
isbn_softcover978-1-4471-2524-2
isbn_ebook978-1-84628-737-4Series ISSN 1616-0533 Series E-ISSN 2195-0687
issn_series 1616-0533
copyrightSpringer-Verlag London Ltd. 2009
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发表于 2025-3-21 23:03:21 | 显示全部楼层
Monique Jeanblanc,Marc Yor,Marc Chesneyprovide an understanding of the vibrations and diffusion of hydrogen and deuterium in the host lattice. The techniques are then illustrated using typical hydrogen storage materials. Incoherent inelastic scattering can be applied to isolated hydrogens—where the protons can be modelled as in an isolat
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Continuous-Path Random Processes: Mathematical Prerequisiteswnian motion, which has continuous paths. This may justify making our starting point in this book to deal with continuous-path random processes, for which, in this first chapter, we recall some well-known facts. We try to give all the definitions and to quote all the important facts for further use.
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Complements on Brownian Motione general continuous semi-martingales. In the second part, we give definitions and basic properties of Brownian bridges and Brownian meander. This is motivated by the fact that, in order to study complex derivative instruments, such as passport options or Parisian options, some knowledge of local ti
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Default Risk: An Enlargement of Filtration Approachiled analysis of the relatively simple case where the flow of information available to an agent reduces to observations of the random time which models the default event. The focus is on the evaluation of conditional expectations with respect to the filtration generated by a default time by means of
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General Processes: Mathematical Factshese processes will always be taken with càdlàg paths. We present the definition of stochastic integrals with respect to a square integrable martingale, and we extend the definition to stochastic integrals with respect to a local martingale. Then, we introduce semi-martingales, quadratic covariation
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