Weak Convergence of Financial Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Weak Convergence of Financial Markets write by Jean-Luc Prigent. This book was released on 2013-03-14. Weak Convergence of Financial Markets available in PDF, EPUB and Kindle. 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.
Markov Decision Processes with Applications to Finance
Markov Decision Processes with Applications to Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Markov Decision Processes with Applications to Finance write by Nicole Bäuerle. This book was released on 2011-06-06. Markov Decision Processes with Applications to Finance available in PDF, EPUB and Kindle. The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).
Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Ii)
Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Ii) - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Ii) write by Marco Avellaneda. This book was released on 2001-01-10. Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Ii) available in PDF, EPUB and Kindle. This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii)
Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) write by Marco Avellaneda. This book was released on 2002-01-18. Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) available in PDF, EPUB and Kindle. This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
Discrete-Time Approximations and Limit Theorems
Discrete-Time Approximations and Limit Theorems - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Discrete-Time Approximations and Limit Theorems write by Yuliya Mishura. This book was released on 2021-10-25. Discrete-Time Approximations and Limit Theorems available in PDF, EPUB and Kindle. The De Gruyter Series in Probability and Stochastics is devoted to the publication of high-level monographs and specialized graduate texts in any branch of modern probability theory and stochastics, along with their numerous applications in other parts of mathematics, physics and informatics, in economics and finance, and in the life sciences. The aim of the series is to present recent research results in the form of authoritative and comprehensive works that will serve the probability and stochastics community as basis for further research. Editorial Board Itai Benjamini, Weizmann Institute of Science, Israel Jean Bertoin, Universität Zürich, Switzerland Michel Ledoux, Université de Toulouse, France René L. Schilling, Technische Universität Dresden, Germany
