Point Processes and Jump Diffusions: An Introduction with Finance Applications

Bjork, Tomas

ISBN 10: 1316518671 / ISBN 13: 9781316518670

Published by Cambridge University Press, 2021

About this Item

A bright, clean hardback, firm and square with strong joints, just a showing a minor rubs. Hence a non-text page is stamped 'damaged'. Despite such this book is actually nearly new condition. Thus it looks and feels unread with contents that are crisp, fresh and tight. Now offered for sale at a special bargain price.

Seller Inventory # 125229

Bibliographic Details

• Title: Point Processes and Jump Diffusions: An Introduction with Finance Applications
• Publisher: Cambridge University Press
• Publication Date: 2021
• Language: English
• ISBN 10: 1316518671
• ISBN 13: 9781316518670
• Binding: Hardcover
• Edition: First Edition.
• Condition: Like New

About this title

Synopsis

The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research.

About the Author

Tomas Björk is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics and previously worked at the Mathematics Department of the Royal Institute of Technology, Stockholm. Björk has been co-editor of Mathematical Finance, on the editorial board for Finance and Stochastics and several other journals, and was President of the Bachelier Finance Society. He is particularly known for his research on point-process-driven forward-rate models, finite-dimensional realizations of infinite dimensional SDEs, and time-inconsistent control theory. He is the author of the well-known textbook Arbitrage Theory in Continuous Time (1998), now in its fourth edition.