Mathematical Methods for Financial Markets - (Springer Finance) by Monique Jeanblanc & Marc Yor & Marc Chesney (Hardcover)
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<p/><br></br><p><b> About the Book </b></p></br></br><p>Stochastic processes of common use in mathematical finance are presented in this book, which interlaces financial concepts and instruments such as arbitrage opportunities, option pricing and default risk with Brownian motion and Lévy and diffusion processes.</p><p/><br></br><p><b> Book Synopsis </b></p></br></br><p>Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes.</p> <p></p> <p>The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.</p><p/><br></br><p><b> From the Back Cover </b></p></br></br><p>Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochastic processes, stochastic calculus and differential equations, among others, which can be daunting for the beginning researcher.</p> <p></p> <p>This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The authors proceed by successive generalisations with increasing complexity assuming some basic knowledge of probability theory. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes.</p> <p></p> <p>The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.</p><p/><br></br><p><b> Review Quotes </b></p></br></br><br>concepts of continuous-time finance ... . This text presents an up-to-date account of the powerful interplay between the two areas, which is accessible yet mathematically rigorous. ... This book is an accessible overview of the relevant sophisticated topics in the theory of processes, serves as an excellent guide through the literature and will doubtless become established as a standard work of reference for practitioners and researchers in the area of mathematical finance." (Aleksandar Mijatovic, Mathematical Reviews, Issue 2011 h)</p><p>"Mathematical Methods for Financial Markets succeeds to be both an excellent finance textbook and an excellent maths textbook. ... the work examined here is an excellent reading, going well beyond the Hull, that should be advised to all serious students in quantitative finance, and perhaps to a few colleagues who would want to enlarge their filtration about this topic. This is a prodigious encyclopaedia designed by the best authors in the field." (Olivier Le Courtois, Revue de l'Association Française de Finance, Vol. 31 (1), 2010)</p><br>
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