Weak Convergence of Financial Markets

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Weak Convergence of Financial Markets
pdf | 10.16 MB | English | Author :4<8=8AB@0B>@ | 978-3642076114 | 2003 | Springer; Softcover reprint of hardcover 1st ed. 2003 edition

Book Description :

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, which include 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. Includes detailed examples.

Category : | Business Finance, Game Theory, Public Finance

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