Mathematical Methods for Financial Markets

by Marc Chesney, Monique Jeanblanc-Picque, Marc Yor

Book Overview

Continuous Path Processes.- Continuous-Path Random Processes: Mathematical Prerequisites.- Basic Concepts and Examples in Finance.- Hitting Times: A Mix of Mathematics and Finance.- Complements on Brownian Motion.- Complements on Continuous Path Processes.- A Special Family of Diffusions: Bessel Processes.- Jump Processes.- Default Risk: An Enlargement of Filtration Approach.- Poisson Processes and Ruin Theory.- General Processes: Mathematical Facts.-...

• Format: Paperback
• Language: English
• ISBN: 144712524X
• ISBN13: 9781447125242
• Release Date: March 2012
• Publisher: Springer
• Length: 732 Pages
• Weight: 2.30 lbs.
• Dimensions: 1.5" x 6.1" x 9.2"