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Mathematical Finance

  • Ernst Eberlein
  • Jan Kallsen
Book

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages i-xvii
  2. Stochastic Calculus

    1. Front Matter
      Pages 1-3
    2. Ernst Eberlein, Jan Kallsen
      Pages 5-96
    3. Ernst Eberlein, Jan Kallsen
      Pages 97-169
    4. Ernst Eberlein, Jan Kallsen
      Pages 171-248
    5. Ernst Eberlein, Jan Kallsen
      Pages 249-298
    6. Ernst Eberlein, Jan Kallsen
      Pages 299-336
    7. Ernst Eberlein, Jan Kallsen
      Pages 337-372
    8. Ernst Eberlein, Jan Kallsen
      Pages 373-403
  3. Mathematical Finance

    1. Front Matter
      Pages 405-408
    2. Ernst Eberlein, Jan Kallsen
      Pages 409-437
    3. Ernst Eberlein, Jan Kallsen
      Pages 439-459
    4. Ernst Eberlein, Jan Kallsen
      Pages 461-535
    5. Ernst Eberlein, Jan Kallsen
      Pages 537-593
    6. Ernst Eberlein, Jan Kallsen
      Pages 595-615
    7. Ernst Eberlein, Jan Kallsen
      Pages 617-661
    8. Ernst Eberlein, Jan Kallsen
      Pages 663-731
  4. Back Matter
    Pages 733-772

About this book

Introduction

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field.

Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance.

Graduate students, researchers as well as practitioners will benefit from this monograph. 

 

Keywords

91G20, 91G80, 60G51, 60G44 60H05, 60J75, 60H10, 91G10, 91G30, 93E20 mathematical finance financial modelling Lévy processes affine processes semimartingales stochastic calculus stochastic control derivatives hedging interest rate theory optimal investment

Authors and affiliations

  • Ernst Eberlein
    • 1
  • Jan Kallsen
    • 2
  1. 1.Department of Mathematical StochasticsUniversity of FreiburgFreiburg im BreisgauGermany
  2. 2.Department of MathematicsKiel UniversityKielGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-030-26106-1
  • Copyright Information Springer Nature Switzerland AG 2019
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-030-26105-4
  • Online ISBN 978-3-030-26106-1
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • Buy this book on publisher's site
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