Stochastic processes of common use in Mathematical finance are presented throughout the book, which consists of eleven chapters, interlacing on one hand financial concepts and instruments, such as arbitrage opportunities, admissible strategies, contingent claims, option pricing, default risk, ruin, and on the other hand, Brownian motion, diffusion processes, L??vy processes, together with the basic properties of these processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. Only basic knowledge of probability theory is assumed; the book is organized so that the mathematical facts pertaining to a given financial question are gathered close to the study of that question.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.
|Title||:||Mathematical Methods for Financial Markets|
|Author||:||Monique Jeanblanc, Marc Yor, Marc Chesney|
|Publisher||:||Springer Science & Business Media - 2009-10-13|