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© 2003

Weak Convergence of Financial Markets

Benefits

  • Brief review of stochastic processes theory

  • Synthesis about all methods to prove weak convergence

  • Detailed examples

Book

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Jean-Luc Prigent
    Pages 1-127
  3. Jean-Luc Prigent
    Pages 129-265
  4. Jean-Luc Prigent
    Pages 267-399
  5. Back Matter
    Pages 401-422

About this book

Introduction

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 such as 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.

Keywords

Finance Hedging Martingale Semimartingale Stochastic calculus Stochastic processes optimization stochastic process

Authors and affiliations

  1. 1.THEMAUniversity of CergyCergyFrance

Bibliographic information

  • Book Title Weak Convergence of Financial Markets
  • Authors Jean-Luc Prigent
  • Series Title Springer Finance
  • DOI https://doi.org/10.1007/978-3-540-24831-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 2003
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-3-540-42333-1
  • Softcover ISBN 978-3-642-07611-4
  • eBook ISBN 978-3-540-24831-6
  • Series ISSN 1616-0533
  • Edition Number 1
  • Number of Pages XIV, 424
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Public Economics
    Finance, general
    Quantitative Finance
  • Buy this book on publisher's site
Industry Sectors
Engineering
Finance, Business & Banking

Reviews

From the reviews:

"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)