Advertisement

Mathematical Methods for Financial Markets

  • Monique Jeanblanc
  • Marc Yor
  • Marc Chesney

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XXV
  2. Continuous Path Processes

    1. Front Matter
      Pages 1-1
    2. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 3-78
    3. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 79-134
    4. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 135-210
    5. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 211-258
    6. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 259-332
    7. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 333-403
  3. Jump Processes

    1. Front Matter
      Pages 405-405
    2. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 407-456
    3. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 457-508
    4. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 509-550
    5. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 551-590
    6. Monique Jeanblanc, Marc Yor, Marc Chesney
      Pages 591-646
  4. Back Matter
    Pages 647-732

About this book

Introduction

Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochastic processes, stochastic calculus and differential equations, among others, which can be daunting for the beginning researcher.

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 authors proceed by successive generalisations with increasing complexity assuming some basic knowledge of probability theory. 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.

Keywords

Bessel processes Finance Financial Market Financial Markets Jump-diffusion Processes Mathematical Finance Option Pricing Probability Theory Stochastic Processes

Authors and affiliations

  • Monique Jeanblanc
    • 1
  • Marc Yor
    • 2
  • Marc Chesney
    • 3
  1. 1.Dépt. MathématiquesUniversité d'EvryEvry CXFrance
  2. 2.Labo. Probabilités et Modèles AléatoiresUniversité Paris VIParisFrance
  3. 3.Inst. Schweizerisches Bankwesen (ISB)Universität ZürichZürichSwitzerland

Bibliographic information

Industry Sectors
Chemical Manufacturing
Finance, Business & Banking