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Weak Convergence of Financial Markets
Jean-Luc Prigent
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Description for Weak Convergence of Financial Markets
Hardback. A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. The main problems such as portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. Series: Springer Finance. Num Pages: 424 pages, 1 black & white tables, biography. BIC Classification: KFF; PBWL. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 25. Weight in Grams: 796.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2003
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
424
Condition
New
Series
Springer Finance
Number of Pages
424
Place of Publication
Berlin, Germany
ISBN
9783540423331
SKU
V9783540423331
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Weak Convergence of Financial Markets
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 ... Read more