Weak Convergence of Financial Markets

by Jean-Luc Prigent

Book Overview

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...

• Format: Hardcover
• Language: English
• ISBN: 3540423338
• ISBN13: 9783540423331
• Release Date: May 2003
• Publisher: Springer
• Length: 424 Pages
• Weight: 1.75 lbs.
• Dimensions: 1.0" x 6.1" x 9.2"