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Weak Convergence of Financial Markets

  • Book
  • © 2003

Overview

Authors:
  1. Jean-Luc Prigent

    1. THEMA, University of Cergy, Cergy, France

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  • Brief review of stochastic processes theory
  • Synthesis about all methods to prove weak convergence
  • Detailed examples
  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Finance (FINANCE)

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Table of contents (3 chapters)

  1. Front Matter

    Pages I-XIV
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  2. Weak Convergence of Stochastic Processes

    • Jean-Luc Prigent
    Pages 1-127

  3. Weak Convergence of Financial Markets

    • Jean-Luc Prigent
    Pages 129-265

  4. The Basic Models of Approximations

    • Jean-Luc Prigent
    Pages 267-399

  5. Back Matter

    Pages 401-422
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Keywords

About this book

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.

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)

Authors and Affiliations

  • THEMA, University of Cergy, Cergy, France

    Jean-Luc Prigent

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

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2003

  • Hardcover ISBN: 978-3-540-42333-1Published: 19 May 2003

  • Softcover ISBN: 978-3-642-07611-4Published: 21 October 2010

  • eBook ISBN: 978-3-540-24831-6Published: 14 March 2013

  • Series ISSN: 1616-0533

  • Series E-ISSN: 2195-0687

  • Edition Number: 1

  • Number of Pages: XIV, 424

  • Topics: Public Economics, Finance, general, Quantitative Finance

  • Industry Sectors: Finance, Business & Banking

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