Weak Convergence of Financial Markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2003
|
| Schriftenreihe: | Springer Finance
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (XIV, 424 p) |
| ISBN: | 9783540248316 9783642076114 |
| ISSN: | 1616-0533 |
| DOI: | 10.1007/978-3-540-24831-6 |
Internformat
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Datensatz im Suchindex
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| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-540-24831-6 |
| format | Electronic eBook |
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| isbn | 9783540248316 9783642076114 |
| issn | 1616-0533 |
| language | English |
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| spelling | Prigent, Jean-Luc Verfasser aut Weak Convergence of Financial Markets by Jean-Luc Prigent Berlin, Heidelberg Springer Berlin Heidelberg 2003 1 Online-Ressource (XIV, 424 p) txt rdacontent c rdamedia cr rdacarrier Springer Finance 1616-0533 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 Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft Hedging (DE-588)4123357-8 gnd rswk-swf Optionshandel (DE-588)4126185-9 gnd rswk-swf Stochastische Konvergenz (DE-588)4183376-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Optionshandel (DE-588)4126185-9 s Hedging (DE-588)4123357-8 s Stochastische Konvergenz (DE-588)4183376-4 s 1\p DE-604 Portfolio Selection (DE-588)4046834-3 s 2\p DE-604 https://doi.org/10.1007/978-3-540-24831-6 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Prigent, Jean-Luc Weak Convergence of Financial Markets Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft Hedging (DE-588)4123357-8 gnd Optionshandel (DE-588)4126185-9 gnd Stochastische Konvergenz (DE-588)4183376-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4123357-8 (DE-588)4126185-9 (DE-588)4183376-4 (DE-588)4046834-3 |
| title | Weak Convergence of Financial Markets |
| title_auth | Weak Convergence of Financial Markets |
| title_exact_search | Weak Convergence of Financial Markets |
| title_full | Weak Convergence of Financial Markets by Jean-Luc Prigent |
| title_fullStr | Weak Convergence of Financial Markets by Jean-Luc Prigent |
| title_full_unstemmed | Weak Convergence of Financial Markets by Jean-Luc Prigent |
| title_short | Weak Convergence of Financial Markets |
| title_sort | weak convergence of financial markets |
| topic | Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft Hedging (DE-588)4123357-8 gnd Optionshandel (DE-588)4126185-9 gnd Stochastische Konvergenz (DE-588)4183376-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft Hedging Optionshandel Stochastische Konvergenz Portfolio Selection |
| url | https://doi.org/10.1007/978-3-540-24831-6 |
| work_keys_str_mv | AT prigentjeanluc weakconvergenceoffinancialmarkets |