Weak Convergence of Financial Markets (Springer Finance)

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9783642076114: Weak Convergence of Financial Markets (Springer Finance)
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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, which include 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. Includes detailed examples.

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"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)

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Book Description Springer-Verlag Berlin and Heidelberg GmbH Co. KG, Germany, 2010. Paperback. Condition: New. Language: English . Brand New Book ***** Print on Demand *****.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, which include 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. Includes detailed examples. Softcover reprint of hardcover 1st ed. 2003. Seller Inventory # AAV9783642076114

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Book Description Springer-Verlag Berlin and Heidelberg GmbH & Co. K. Paperback. Condition: New. 424 pages. Dimensions: 9.0in. x 6.0in. x 1.0in.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, which include 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. Includes detailed examples. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Seller Inventory # 9783642076114

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Book Description Springer Berlin Heidelberg, 2003. Paperback. Condition: Brand New. softcover reprint of hardcover 1st ed. 2003 edition. 424 pages. 9.00x6.00x1.00 inches. In Stock. Seller Inventory # __3642076114

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