Weak Convergence of Financial Markets / Edition 1

by Jean-Luc Prigent

Overview

A comprehensive overview of weak convergence of shastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of shastic processes and shastic calculus with special emphasis on contiguity properties and weak convergence of shastic 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 sks and shastic bonds. More general discrete approximations are also introduced and detailed.

Product Details

ISBN-13:	9783540423331
Publisher:	Springer Berlin Heidelberg
Publication date:	08/05/2003
Series:	Springer Finance
Edition description:	2003
Pages:	424
Product dimensions:	6.10(w) x 9.25(h) x 0.04(d)

Table of Contents

Weack Convergence of Shastic Processes: Basic Properties of Shastic Processes.- Weak Convergence.- Weak Convergence to a Semimartingale.- Weak Convergence of Shastic Integrals.- Limit Theorems, Density Processes and Contiguity.- Weak Convergence of Financial Markets: Convergence of Optimal Consumption-Portfolio Strategies.- Convergence of Option Prices.- Convergence of Hedging Strategies.- The Basic Models of Approximations: General Remarks.- Lattice.- Alternative Approximations.- Approximations of Term Structure Models.- Index.

Editorial Reviews

From the reviews:

"A comprehensive overview of weak convergence of shastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of shastic processes and shastic calculus with special emphasis on contiguity properties and weak convergence of shastic 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 shastic 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)

From the Publisher