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Field name	Details
Dewey Class	519
Title	Mathematical Methods for Financial Markets ([Ebook]) / by Monique Jeanblanc, Marc Yor, Marc Chesney.
Author	Jeanblanc, Monique
Added Personal Name	Yor, Marc
Added Personal Name	Chesney, Marc
Other name(s)	SpringerLink (Online service)
Publication	London : Springer , 2009.
Physical Details	: online resource.
Series	Springer finance
ISBN	9781846287374
Summary Note	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. 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 LÃ©vy 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. 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.:
Contents note	Part I Continuous Path Processes -- 1. Continuous Path Random Processes: Mathematical Prerequisites -- 2. Basic Concepts and Examples in Finance -- 3. Hitting Times: A Mix of Mathematics and Finance -- 4. Complements on Brownian Motion -- 5. Complements on Continuous Path Processes -- 6. A Special Family of Diffusions: Bessel Processes -- Part II: Jump Processes -- 7. Default Risk: An Enlargement of Filtration Approach -- 8. Poisson Processes and Ruin Theory -- 9. General Processes: Mathematical Facts -- 10. Mixed Processes -- 11. LÃ©vy Processes -- Appendices -- References -- Index.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	http://dx.doi.org/10.1007/978-1-84628-737-4
Links to Related Works	Subject References: Banks and banking . Distribution (Probability theory) . Finance . Finance /Banking . Mathematics . Probability theory and stochastic processes . Quantitative Finance . Authors: author . Chesney, Marc . Jeanblanc, Monique . Yor, Marc . Corporate Authors: SpringerLink (Online service) . Series: Springer finance . Classification: 519 . 519 (DDC 22) .

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Mathematical Methods for Financial Markets

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